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Stock market prices and long-range dependence

✍ Scribed by Walter Willinger; Murad S. Taqqu; Vadim Teverovsky


Book ID
106235863
Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
145 KB
Volume
3
Category
Article
ISSN
0949-2984

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✍ K. Victor Chow; Ming-Shium Pan; Ryoichi Sakano πŸ“‚ Article πŸ“… 1996 πŸ› Springer US 🌐 English βš– 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