Lobato, Ignacio N; Savin, N E - In: Journal of Business & Economic Statistics 16 (1998) 3, pp. 261-68
The authors test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of I. Lobato and P. M. Robinson (1997). Spurious results can be produced by nonstationarity and aggregation. The authors address these problems by analyzing...