Tagged Questions
9
votes
1answer
207 views
Is a linear combination of GARCH processes also a GARCH process?
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
14
votes
6answers
1k views
How random are financial data series?
Pseudorandom number generators are often tested using e.g. a test suite like Diehard tests or Dieharder. If one would run these tests e.g. on stock market time series or other financial data, would ...
