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
โฆ LIBER โฆ
Long-term and short-term price memory in the stock market
โ Scribed by K. Victor Chow; Karen C. Denning; Stephen Ferris; Gregory Noronha
- Book ID
- 116102164
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 383 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0165-1765
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