Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities
Nuno Crato
(Department of Pure and Applied Mathematics, Stevens Institute of Technology, Hoboken, NJ 07030, US, and Department of Economics, The Johns Hopkins University, Baltimore, MD 21218, US)
Pedro J.F. de Lima
(Department of Pure and Applied Mathematics, Stevens Institute of Technology, Hoboken, NJ 07030, US, and Department of Economics, The Johns Hopkins University, Baltimore, MD 21218, US)
110
Abstract
This paper is focused on two particular issues related to the stochastic structure of stock prices: linear long‐memory and nonlinearity.
Citation
Crato, N. and de Lima, P.J.F. (1994), "Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities", Managerial Finance, Vol. 20 No. 2, pp. 49-67. https://doi.org/10.1108/eb018463
Publisher
:MCB UP Ltd
Copyright © 1994, MCB UP Limited