Lima, Luiz Renato; Xiao, Zhijie - In: Applied financial economics 20 (2010) 4/6, pp. 487-500
There has been a large amount of research on long memory in economic and financial time series. However, there is still no consensus on its presence in these series. We argue in this article that spurious short memory may be found because of the use of bandwidth parameters that diverge too...
