EconPapers    
Economics at your fingertips  
 

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive Granger and Robert Engle

Journal of Empirical Finance, 1993, vol. 1, issue 1, 83-106

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1164) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0927-5398(93)90006-D
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-23
Handle: RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106