Modelling and Detecting Long Memory in Stock Returns

In this paper we revisit this issue of long memory in stock returns by applying a range of parametric and semi-parametric techniques to daily, weekly and monthly index return data on nine countries, namely the USA, Japan, France, Great Britain, Taiwan, Singapore and Romania. We also discuss a continuous trading model based on the fractional Brownian motion (a stochastic process that exhibit long memory) and pricing derivative securities under this model.

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Year of publication:	2008-06
Authors:	Necula, Ciprian
Institutions:	Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
Subject:	Long Memory

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Extent:	application/pdf
Series:	Advances in Economic and Financial Research - DOFIN Working Paper Series. - ISSN 1844-6612.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 9
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036712