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Autocorrelation in the global stochastic trend

Published in № 3(35) 22 september 2014 year
Rubric: Stock markets
Authors: Durdyev R. r., Peresetsky A.
financial market integration; stock market returns; global stochastic trend; state space model; Kalman filter; non-synchronous data; market returns forecast.

The author:

The author:

Peresetsky A.

Degree:

National Research University Higher School of Economics

Location:

Moscow