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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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
1996
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| 在線閱讀: | 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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