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
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
Journal title :
Economics Letters
