Long-term dependence in stock returns

被引：96

作者：

Barkoulas, JT ^{[1
]}

Baum, CF ^{[1
]}

机构：

[1] BOSTON COLL,DEPT ECON,CHESTNUT HILL,MA 02167

来源：

ECONOMICS LETTERS | 1996年 / 53卷 / 03期

关键词：

fractal dynamics; long memory; spectral regression; stock returns;

D O I：

10.1016/S0165-1765(96)00935-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test for long-term dependence in US stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices but are present in some firms' returns series.

引用

页码：253 / 259

页数：7

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