Semiparametric exploration of long memory in stock prices

DOI10.1016/0378-3758(95)00051-8zbMath0848.62061OpenAlexW2070020253MaRDI QIDQ1918155

David K. C. Lee, Peter M. Robinson

Publication date: 27 October 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/3363

zbMATH Keywords

financial time seriesstock pricessemiparametric analysisstock indicesfractional long memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Averaged periodogram estimation of long memory, An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

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