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Real and Spurious Long-Memory Properties of Stock-Market Data: Comment

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  • Ho, Hwai-Chung Jeff
  • Lin, Chien-fu

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Suggested Citation

  • Ho, Hwai-Chung Jeff & Lin, Chien-fu, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 272-272, July.
    • Handle: RePEc:bes:jnlbes:v:16:y:1998:i:3:p:272
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    Cited by:

    1. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    2. Granger, Clive W.J. & Sin, Chor-yiu, 1999. "Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series qt48r4781r, Department of Economics, UC San Diego.
    3. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
    5. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
    6. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

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