Semiparametric exploration of long memory in stock prices

DOI10.1016/0378-3758(95)00051-8zbMath0848.62061OpenAlexW2070020253MaRDI QIDQ1918155

David K. C. Lee, Peter M. Robinson

Publication date: 27 October 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/3363

zbMATH Keywords

financial time seriesstock pricessemiparametric analysisstock indicesfractional long memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Averaged periodogram estimation of long memory ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

Cites Work

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• Averaged periodogram estimation of long memory
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long-Term Memory in Stock Market Prices
• Are Output Fluctuations Transitory?

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