Long-Term Memory in Stock Market Prices
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Publication:4271324
DOI10.2307/2938368zbMath0781.90023OpenAlexW1552362148WikidataQ29012815 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 dependencerandom walkfractional differencingMonte Carlo experimentsstock market prices\(R/S\) testdaily and monthly stock returns indexes
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