Real and Spurious Long-Memory Properties of Stock-Market Data - Concepedia

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Real and Spurious Long-Memory Properties of Stock-Market Data

335

Citations

10

References

1998

Year

I. N. Lobato, N. E. Savin

Journal of Business and Economic Statistics

Empirical FinanceAsset PricingMarket TrendManagementBusinessEconometricsSpurious Long-memory PropertiesLong MemoryStock Market PredictionRobust Semiparametric ProcedureFinancial EngineeringStatisticsFinanceHigh-frequency Financial EconometricsDaily Stock Returns

Abstract

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

References

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