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…
physics.soc-ph2008★ 3 cited
Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
Joseph L. McCauley, Kevin E. Bassler, Gemunu H. Gunaratne
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A clas…