Journal article
Real and spurious long-memory properties of stock-market data
Journal of business & economic statistics, Vol.16(3), pp.261-268
07/01/1998
DOI: 10.1080/07350015.1998.10524760
Abstract
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.
Details
- Title: Subtitle
- Real and spurious long-memory properties of stock-market data
- Creators
- I. N. Lobato - Department of Economics, University of Iowa, United StatesN. E. Savin - Department of Economics, University of Iowa, United States
- Resource Type
- Journal article
- Publication Details
- Journal of business & economic statistics, Vol.16(3), pp.261-268
- DOI
- 10.1080/07350015.1998.10524760
- ISSN
- 0735-0015
- eISSN
- 1537-2707
- Number of pages
- 8
- Language
- English
- Date published
- 07/01/1998
- Academic Unit
- Economics
- Record Identifier
- 9984963097802771
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