Real and Spurious Long-Memory Properties of Stock-Market Data
Journal of Business and Economic StatisticsPublished 1 July 1998
I. N. Lobato, N. E. Savin
Citations335
SJR quartileQ1
SJR score4.17
SNIP2.29
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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.
Keywords
Economics, Econometrics and Finance
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