๐”– Bobbio Scriptorium
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R/S Analysis and Long Term Dependence in Stock Market Indices

โœ Scribed by Nawrocki, David

Book ID
121458048
Publisher
Emerald Group Publishing Limited
Year
1995
Tongue
English
Weight
791 KB
Volume
21
Category
Article
ISSN
0307-4358

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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