Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 3, pp. 635-645
While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the...