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Real and Spurious Long Memory Properties of Stock Market Data

Author

Listed:
  • Lobato, I.N.

    (University of Iowa)

  • Savin, N.E.

    (University of Iowa)

Abstract

We 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.

Suggested Citation

  • Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
  • Handle: RePEc:uia:iowaec:96-07
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    FINANCIAL MARKET; ECONOMIC MODELS;

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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