Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan - In: Journal of Applied Econometrics 13 (1998) 3, pp. 217-244
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...