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Long term dependence in stock returns · Study

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ArticleLong term dependence in stock returns

Ben Jacobsen1996

OA

Articlegreen1996

Long term dependence in stock returns

98 citations·0/0 files stored·Journal of Empirical 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

1965The Behavior of Stock-Market Prices 1985Does the Stock Market Overreact?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 1988Permanent and Temporary Components of Stock Prices 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1990Evidence of Predictable Behavior of Security Returns 1988Mean reversion in stock prices

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2007Long Memory in the Turkish Stock Market Return and Volatility 2000Long-term memory in stock market volatility 2015Long memory and level shifts in REITs returns and volatility 2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008

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1993Do Gold Market Returns Have Long Memory?article · 16 shared references 199611 Nonlinear time series, complexity theory, and financechapter · 16 shared references 1997Another look at long memory in common stock returnsarticle · 15 shared references 2001Long‐term memory in stock market returns: international evidencearticle · 14 shared references 2005Fractional integration in daily stock market indexesarticle · 14 shared references 19969 Predictable components in stock returnschapter · 14 shared references

Details

Year1996

Typearticle

Published1996-12-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations98

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0927-5398(96)00009-6

openalex_workW2147185987

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