Statistical tests for long memory and unit root of high frequency financial data
碩士 === 國立中山大學 === 應用數學系研究所 === 96 === In this thesis, we study the unit root tests which includes the ADF, PP and KPSS tests, the long memory tests such as the R/S and GPH tests, and the applications of these methods in high frequency financial data analysis. The software SPLUS was adopted to analy...
Main Authors: | Yen-Hsiang Chang, 張雁翔 |
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Other Authors: | Mei-Hui Guo |
Format: | Others |
Language: | zh-TW |
Published: |
2008
|
Online Access: | http://ndltd.ncl.edu.tw/handle/cc487z |
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