Title of article
Long-term dependence in stock returns
Author/Authors
Barkoulas، نويسنده , , John T.; Baum، نويسنده , , Christopher F. ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
7
From page
253
To page
259
Abstract
We test for long-term dependence in US stock returns, analyzing composite and sectoral stock indices and firmsʹ returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices but are present in some firmsʹ returns series
Keywords
Fractal dynamics , Spectral regression: Stock returns , Long memory
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434224
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