Long-Term Memory in Stock Market Prices
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Publication:4271324
DOI10.2307/2938368zbMath0781.90023WikidataQ29012815 ScholiaQ29012815MaRDI QIDQ4271324
Publication date: 9 January 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/2245
long-range dependence; random walk; fractional differencing; Monte Carlo experiments; stock market prices; \(R/S\) test; daily and monthly stock returns indexes
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