Long-range dependence in the international diamond market

Terence Tai Leung Chong, Chenxi Lu and Wing Chan ()

Economics Letters, 2012, vol. 116, issue 3, 401-403

Abstract: This work endeavors to study the long-range dependence of the international diamond market. The results from the modified R/S statistic suggest that diamond returns do not have long memory, while strong evidence is found for long memory in diamond volatilities.

Keywords: Long memory; Modified R/S statistic; Diamond market (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:401-403

DOI: 10.1016/j.econlet.2012.04.011

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