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A search for long memory in international stock market returns

  • Cheung, Yin-Wong
  • Lai, Kon S.

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3Y45TKB-R/2/4bcdfda0b5a466da875b81c0b0944646
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 14 (1995)
Issue (Month): 4 (August)
Pages: 597-615

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Handle: RePEc:eee:jimfin:v:14:y:1995:i:4:p:597-615
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  2. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
  3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  4. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  5. B. Mandelbrot, 1972. "Statistical Methodology For Nonperiodic Cycles: From The Covariance To Rs Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290 National Bureau of Economic Research, Inc.
  6. Chow, K Victor & Pan, Ming-Shium & Sakano, Ryoichi, 1996. " On the Long-Term or Short-Term Dependence in Stock Prices: Evidence from International Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 6(2), pages 181-94, March.
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