Real and Spurious Long Memory Properties of Stock Market Data
AbstractWe test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.
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Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 96-07.
Length: 17 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
More information through EDIRC
FINANCIAL MARKET; ECONOMIC MODELS;
Other versions of this item:
- Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-68, July.
- I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- repec:att:wimass:9523 is not listed on IDEAS
- Delgado, Miguel A., . "Testing serial independence using the sample distribution function," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3729, Universidad Carlos III de Madrid.
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