Tan, Pei P.; Galagedera, Don U.A.; Maharaj, Elizabeth A. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 7, pp. 2330-2341
Using a wavelet-based maximum likelihood fractional integration estimator, we test long memory (return predictability) in the returns at the market, industry and firm level. In an analysis of emerging market daily returns over the full sample period, we find that long-memory is not present and...