ExploRing Persistence in Financial Time Series

• Main Author: LEE, David K C.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2000
• Subjects: Financial time series; Finance; Statistical Computing; Statistical Programs; Statistics; XploRe; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3402; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4401/viewcontent/63.pdf
• Institution: Singapore Management University

If financial time series exhibits persistence or long-memory, then their unconditional probability distribution may not be normal. This has important implications for many areas in finance, especially asset pricing, option pricing, portfolio allocation and risk management. Furthermore, if the random...