Browsing by Title "Robustness of stationary tests under long-memory alternatives"

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    • Robustness of stationary tests under long-memory alternatives 

      Lima, Luiz Renato Regis de Oliveira; Xiao, Zhijie
      2004-04-01
      This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and ...