Long-term dependence in stock returns

DOI10.1016/S0165-1765(96)00935-4zbMath0897.90037MaRDI QIDQ1391610

Christopher F. Baum, John T. Barkoulas

Publication date: 22 July 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

long memorystock returnsspectral regressionfractal dynamics

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic growth models (91B62)

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Cites Work

• Unnamed Item
• Long-term and short-term price memory in the stock market
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes

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