Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Finance and Financial Management
Semiparametric Exploration Of Long Memory In Stock Prices, David K. C. Lee, Peter M. Robinson
Semiparametric Exploration Of Long Memory In Stock Prices, David K. C. Lee, Peter M. Robinson
David LEE Kuo Chuen
New or modified methods for semiparametric analysis of fractional long memory in time series are described and applied to twenty-six stock prices and two stock indices. Evidence is found that some, but not all, of the stocks have long memory, while one of the indices exhibits mean reversion.