On the long-term or short-term dependenc
On the long-term or short-term dependence in stock prices: Evidence from international stock markets
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K. Victor Chow; Ming-Shium Pan; Ryoichi Sakano
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Article
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1996
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Springer US
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English
โ 824 KB
This study examines the short-and long-term dependence in the United States and 21 international equity market indexes. Two heteroscedastic-robust testing methods, the modified rescaled range analysis and the rescaled variance ratio test, are employed to test for the existence of dependence. The evi