Semiparametric Exploration of Long Memory in Stock Prices

Author

David K. C. LEE, Singapore Management UniversityFollow
Peter M. ROBINSON, London School of Economics

Publication Type

Journal Article

Version

acceptedVersion

Publication Date

3-1996

Abstract

New or modified methods for semiparametric analysis of fractional long memory in time series are described and applied to twenty-six stock prices and two stock indices. Evidence is found that some, but not all, of the stocks have long memory, while one of the indices exhibits mean reversion.

Keywords

Long memory, Semiparametric model

Discipline

Finance and Financial Management

Research Areas

Quantitative Finance

Publication

Journal of Statistical Planning and Inference

Volume

50

Issue

2

First Page

155

Last Page

174

ISSN

0378-3758

Identifier

10.1016/0378-3758(95)00051-8

Publisher

Elsevier

Citation

LEE, David K. C. and ROBINSON, Peter M.. Semiparametric Exploration of Long Memory in Stock Prices. (1996). Journal of Statistical Planning and Inference. 50, (2), 155-174.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3363

Copyright Owner and License

Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.1016/0378-3758(95)00051-8