haku: @author Lima, P. de / yhteensä: 1
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| Tekijä: | Crato, N. Lima, P. de |
| Otsikko: | Long-memory and nonlinearity: a time series analysis of stock returns and volatilities |
| Lehti: | Managerial Finance
1994 : VOL.2:2/3, p.49-67 |
| Asiasana: | STOCK RETURNS TIME SERIES MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper is focused on two particular issues related to the stochastic structure of stock prices: linear long-memory and nonlinearity. Using the R/S, tool several researchers arrived at the surprising conclusion that some financial time series had a long-memory behavior, being the actual movements in the market stochastically influenced by the recent to the most remote past. In this paper the authors test this claim using two techniques. They concentrate their attention on the robustness of nonlinear tests to some particulars of stock market returns. |
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