Long-Term Memory in Stock Market Prices (Q4271324)

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scientific article; zbMATH DE number 464685
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Long-Term Memory in Stock Market Prices
scientific article; zbMATH DE number 464685

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    Long-Term Memory in Stock Market Prices (English)
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    9 January 1994
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    long-range dependence
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    fractional differencing
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    random walk
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    stock market prices
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    daily and monthly stock returns indexes
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    Monte Carlo experiments
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    \(R/S\) test
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