5.3 Compute the sample ACF of the absolute values of the NYSE returns displayed in Figure 1.4...

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5.3 Compute the sample ACF of the absolute values of the NYSE returns displayed in Figure 1.4 up to lag 200 and comment on whether the ACF indicates long memory. Fit an ARFIMA model to the absolute values and comment.

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Time Series Analysis And Its Applications With R Examples

ISBN: 9780387293172

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Authors: Robert H. Shumway, David S. Stoffer

Question Posted: Nov 11, 2024 01:00 AM

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5.3 Compute the sample ACF of the absolute values of the NYSE returns displayed in Figure 1.4...

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Time Series Analysis And Its Applications With R Examples

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