Taqqu, Murad S.; Teverovsky, Vadim; Willinger, Walter - In: Finance and Stochastics 3 (1999) 1, pp. 1-13
Using the CRSP (Center for Research in Security Prices) daily stock return data, we revisit the question of whether or not actual stock market prices exhibit long-range dependence. Our study is based on an empirical investigation reported in Teverovsky, Taqqu and Willinger [33] of the modified...
