Long-term and short-term price memory in the stock market
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Publication:672632
DOI10.1016/0165-1765(95)00690-HzbMATH Open0900.90023OpenAlexW2046825833MaRDI QIDQ672632FDOQ672632
Authors: K. Victor Chow, Karen C. Denning, Gregory Noronha, Stephen D. Ferris 
Publication date: 28 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(95)00690-h
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Cites Work
- Non-strong mixing autoregressive processes
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Long-Term Memory in Stock Market Prices
- Portfolio Analysis in a Stable Paretian Market
- Brownian motion in the stock market
- A simple multiple variance ratio test
Cited In (7)
- Long-term dependence in stock returns
- Title not available (Why is that?)
- Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
- Finite-time stabilizing a fractional-order chaotic financial system with market confidence
- Long-Term Memory in Stock Market Prices
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Technical trading can induce long-run memory in financial markets
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