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| Author: | Jacobsen, B. |
| Title: | Long term dependence in stock returns |
| Journal: | Journal of Empirical Finance
1996 : DEC, VOL. 3:4, p. 393-420 |
| Index terms: | FINANCE STOCK RETURNS TIME SERIES |
| Language: | eng |
| Abstract: | The author shows, using the modified rescaled range statistic, that none of the return series of indices of five European countries, the United States and Japan exhibits long term dependence. This statistic - introduced by Lo (1991) - corrects Hurst's (1951) "classical" rescaled range statistic for short term dependence. This procedure shows, for cases where the results of the modified rescaled range statistic are mixed, that no long term dependence can be found. Simulations indicate reasonable power of this adjustment procedure. |
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