Market Models: A Guide to Financial Data Analysis

authors: Carol Alexander year: 2007 See in Zotero

Literature Notes

Chapter 11

This is all about stationarity. What stationary means, how to transform different time series to be stationary, and how to test for stationarity.

Detrending series

A way to make a series stationary

With data that come from an Integrated process - use differences to get the series to be stationary.

With data that is a trend-stationary process fit a trend line and take deviations from the trend line - this should be stationary