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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Institutional Knowledge at Singapore Management University
1996
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sg-smu-ink.lkcsb_research-43622017-03-20T02:04:57Z Semiparametric Exploration of Long Memory in Stock Prices LEE, David K. C. ROBINSON, Peter M. 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. 1996-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/3363 info:doi/10.1016/0378-3758(95)00051-8 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4362/viewcontent/SemiparametricExplorationLongMemoryStockPrices_1996.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Long memory Semiparametric model Finance and Financial Management |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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InK@SMU |
| language |
English |
| topic |
Long memory Semiparametric model Finance and Financial Management |
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Long memory Semiparametric model Finance and Financial Management LEE, David K. C. ROBINSON, Peter M. Semiparametric Exploration of Long Memory in Stock Prices |
| description |
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. |
| format |
text |
| author |
LEE, David K. C. ROBINSON, Peter M. |
| author_facet |
LEE, David K. C. ROBINSON, Peter M. |
| author_sort |
LEE, David K. C. |
| title |
Semiparametric Exploration of Long Memory in Stock Prices |
| title_short |
Semiparametric Exploration of Long Memory in Stock Prices |
| title_full |
Semiparametric Exploration of Long Memory in Stock Prices |
| title_fullStr |
Semiparametric Exploration of Long Memory in Stock Prices |
| title_full_unstemmed |
Semiparametric Exploration of Long Memory in Stock Prices |
| title_sort |
semiparametric exploration of long memory in stock prices |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1996 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/3363 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4362/viewcontent/SemiparametricExplorationLongMemoryStockPrices_1996.pdf |
| _version_ |
1770571407815606272 |