Spurious long-range dependence: evidence from Malaysian equity markets
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- Kristoufek, Ladislav, 2009. "Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009 [Long-term memory and its evolution in returns of PX between 1999 and 2009]," MPRA Paper 16435, University Library of Munich, Germany.
- 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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More about this item
Keywords
Keywords: long-range dependence; variance aggregated-time plot; financial time series; self-similar process;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-SEA-2008-03-25 (South East Asia)
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