Several authors have introduced different ways to measure integration between financial markets. Most of them are derived from the basic assumptions about asset prices, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical prices to
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Self-similarity in financial markets: A fractionally integrated approach
β Scribed by Chin Wen Cheong
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 584 KB
- Volume
- 52
- Category
- Article
- ISSN
- 0895-7177
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