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Paper / 2016SMQ / 40770027012933
Time-dependent scaling patterns in high frequency financial data
Aste, Tomaso / Di Matteo, Tiziana / Nava, Noemi
time seriesResource overview

Time-dependent scaling patterns in high frequency financial data

Paper2016

by Aste, Tomaso, Di Matteo, Tiziana, Nava, Noemi

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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.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

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