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Long Memory in Stock Returns: Insights from the Indian Market · Study

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ArticleLong Memory in Stock Returns: Insights from the Indian Market

Indranil Mukherjee2011

Article2011

Long Memory in Stock Returns: Insights from the Indian Market

Indranil Mukherjee · Chitrakalpa Sen

19 citations·0/0 files stored·The International Journal of Applied Economics and Finance

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

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References

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 1981Fractional Differencing 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence 1996Modeling volatility persistence of speculative returns: A new approach 1989Long memory and persistence in aggregate output

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1996Long memory processes and fractional integration in econometricsarticle · 8 shared references 2004The Long Memory of the Efficient Marketarticle · 7 shared references 1995A search for long memory in international stock market returnsarticle · 7 shared references 2001Long‐term memory in stock market returns: international evidencearticle · 7 shared references 2011The Long Range Dependence Paradigm for Macroeconomics and Financepreprint · 7 shared references 199611 Nonlinear time series, complexity theory, and financechapter · 7 shared references

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Year2011

Typearticle

Published2011-01-01

VenueThe International Journal of Applied Economics and Finance

ISSN-L1991-0886

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.3923/ijaef.2011.62.74

openalex_workW2331032888

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