Open AccessA fractional difference returns for stylized fact studies
Author(s) -
Rosmanjawati Abdul Rahman,
Jibrin Sanusi Alhaji
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1132/1/012074
Subject(s) - stylized fact , volatility clustering , volatility (finance) , econometrics , economics , autoregressive conditional heteroskedasticity , heteroscedasticity , estimator , stochastic volatility , autoregressive model , mathematics , financial economics , statistics , macroeconomics