Semiparametric Exploration of Long Memory in Stock Prices

Semiparametric Exploration of Long Memory in Stock Prices

New or modified methods for semiparametric analysis of fractional long memory in time series are described and applied to twenty-six stock prices and two stock indices. Evidence is found that some, but not all, of the stocks have long memory, while one of the indices exhibits mean reversion.

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Bibliographic Details
Main Authors: LEE, David K. C., ROBINSON, Peter M.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1996
Subjects:
Long memory
Semiparametric model
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3363
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4362/viewcontent/SemiparametricExplorationLongMemoryStockPrices_1996.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3363
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4362/viewcontent/SemiparametricExplorationLongMemoryStockPrices_1996.pdf

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