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Long memory in return structures from developed markets
The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market...
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| Publicado no: | Cuadernos de Gestión |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidad del País Vasco/Euskal Herriko Unibertsitatea
2013
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=274326464005 |
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