Real and Spurious Long Memory Properties of Stock Market Data.

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

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Year of publication:	1996
Authors:	Lobato, I.N. ; Savin, N.E.
Institutions:	Department of Economics, Tippie College of Business
Subject:	FINANCIAL MARKET \| ECONOMIC MODELS

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	17 pages
Classification:	G18 - Government Policy and Regulation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005233330