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A long memory property of stock market returns and a new model
Ding, Zhuanxin; Granger, Clive W. J.; Engle, Robert F. - In: Journal of Empirical Finance 1 (1993) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10005194288
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Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
Granger, Clive W. J.; Hyung, Namwon - In: Journal of Empirical Finance 11 (2004) 3, pp. 399-421
Persistent link: https://www.econbiz.de/10005199012