oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 5, pp. 1247-1254
We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation … Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return … series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term …