105 citations · 310 across the 12 of their papers we have counts for
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q-fin.ST2008★ 18 cited
Time vs. Ensemble Averages for Nonstationary Time Series
Joseph L. McCauley
We analyze the question whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correla…
q-fin.ST2008
ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
Joseph L. McCauley
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuati…
q-fin.ST2007★ 1 cited
Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts
Joseph L. McCauley, Kevin E. Bassler, Gemunu H. Gunaratne
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts,…