Lin, Xiaoqiang; Fei, Fangyu - In: Economic Modelling 31 (2013) C, pp. 265-275
In the present work we propose the rescaled range analysis (R/S), modified R/S method and detrended fluctuation analysis (DFA) to investigate the long memory property of Chinese stock markets based on the conditional and actual volatility series, and show that the stock markets in China display...