"Semiparametric Exploration of Long Memory in Stock Prices" by David K. C. LEE

Selected Works of David LEE Kuo Chuen

Article

Semiparametric Exploration of Long Memory in Stock Prices

Journal of Statistical Planning and Inference

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

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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

Identifier

10.1016/0378-3758(95)00051-8

Publisher

Elsevier

Authors

Creative Commons License

Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International

Additional URL

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

Citation Information

David K. C. LEE and Peter M. ROBINSON. "Semiparametric Exploration of Long Memory in Stock Prices" Journal of Statistical Planning and Inference Vol. 50 Iss. 2 (1996) p. 155 - 174 ISSN: 0378-3758
Available at: http://works.bepress.com/kuochuendavid_lee/13/