Real and Spurious Long Memory Properties of Stock Market Data

Ignacio Lobato and N.E. Savin ()
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N.E. Savin: University of Iowa

Working Papers from University of Iowa, Department of Economics

Abstract: We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

Keywords: FINANCIAL MARKET; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1996
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Real and Spurious Long-Memory Properties of Stock-Market Data (1998)
Working Paper: Real and Spurious Long Memory Properties of Stock Market Data (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:96-07

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