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A search for long memory in international stock market returns · Study

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ArticleA search for long memory in international stock market returns

Yin‐Wong Cheung1995

Article1995

A search for long memory in international stock market returns

Yin‐Wong Cheung · Kon S. Lai

236 citations·0/0 files stored·Journal of International Money and Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1987Expected stock returns and volatility 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1988Permanent and Temporary Components of Stock Prices

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2004Ranking efficiency for emerging markets 2007Wavelet analysis of stock returns and aggregate economic activity 1996Long-term dependence in stock returns 2000Empirical evidence of long-range correlations in stock returns 2005Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets 1996

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199611 Nonlinear time series, complexity theory, and financechapter · 19 shared references 1993Do Gold Market Returns Have Long Memory?article · 17 shared references 1997Another look at long memory in common stock returnsarticle · 17 shared references 2001Long‐term memory in stock market returns: international evidencearticle · 14 shared references 2003A long memory test of the long-run Fisher effect in the G7 countriesarticle · 14 shared references 1995Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Modelchapter · 13 shared references

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Year1995

Typearticle

Published1995-08-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations236

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0261-5606(95)93616-u

openalex_workW2075280911

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Long term dependence in stock returns

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