Real and Spurious Long-Memory Properties of Stock-Market Data
Bibliographic Data
| ID | 19418006 |
|---|---|
| Authors | Ignacio N Lobato (0000-0001-7893-0564, University of Iowa), N E Savin (University of Iowa) |
| Year | 1998 |
| Volume | 16 |
| Issue | 3 |
| Pages | 261-268 |
| Publication date | 1998-07-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1998.10524760 |
| OpenAlex | W2062800290 |
| Language | EN |
| Citations received | 7 |
| References cited | 16 |
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns
Econometrics · Economics · Financial economics · Geography · Long memory · Spurious relationship · Statistics · Stock market · Complex Systems and Time Series Analysis · Engineering · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics
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| Citations per year | 0.26 |
|---|---|
| Citation span | 1999 - 2022 (24) |
| Highly cited | No |