Long-term Memory in Stock Market Prices
收藏NBER1989-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2984
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资源简介：
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to daily
提供机构：
美国国家经济研究局
创建时间：
1989-05-01
