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A mathematical proof of the existence of trends in financial time series
Cédric Join / Michel Fliess
time seriesResource overview

A mathematical proof of the existence of trends in financial time series

Paper2009

by Cédric Join, Michel Fliess

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time series

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Suggested foundations for financial time series. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

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