Modelling and Detecting Long Memory in Stock Returns
AbstractIn this paper we revisit this issue of long memory in stock returns by applying a range of parametric and semi-parametric techniques to daily, weekly and monthly index return data on nine countries, namely the USA, Japan, France, Great Britain, Taiwan, Singapore and Romania. We also discuss a continuous trading model based on the fractional Brownian motion (a stochastic process that exhibit long memory) and pricing derivative securities under this model.
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Bibliographic InfoPaper provided by Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB in its series Advances in Economic and Financial Research - DOFIN Working Paper Series with number 9.
Date of creation: Jun 2008
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