A long memory property of stock market returns and a new model

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Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance. https://doi.org/10.1016/0927-5398(93)90006-d

@article{zhuanxin1993a,
  title  = {A long memory property of stock market returns and a new model},
  author = {Ding, Zhuanxin and Granger, Clive W. J. and Engle, Robert F.},
  year   = {1993},
  journal = {Journal of Empirical Finance},
  doi    = {10.1016/0927-5398(93)90006-d}
}

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