A non-random walk revisited: short- and long-term memory in asset prices
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- Kristoufek, Ladislav, 2009. "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper 16424, University Library of Munich, Germany.
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Keywords
Asset pricing; Foreign exchange rates;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2008-12-07 (Operations Research)
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