Semiparametric Exploration of Long Memory in Stock Prices

• 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
• Institution: Singapore Management University

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.