Granger, Clive W.J.; Hyung, Namwon - Department of Economics, University of California-San … - 1999
This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the...