Long-term and short-term price memory in the stock market

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations

Business, Economics, Finance +12

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

Andrew W. Lo, A. Craig MacKinlay · Review of Financial Studies · 1988 · 3.8K citations

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Donald B. Keim · Journal of Financial Economics · 1983 · 1.8K citations

Business, Finance, Financial Economics +13

Long-Term Memory in Stock Market Prices

Andrew W. Lo · Econometrica · 1991 · 1.7K citations · Full text

Social Sciences, Economics, Finance +17