3 citations · 4 across the 3 of their papers we have counts for
3 papers
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…
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,…