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Volumn 13, Issue 7, 2003, Pages 495-502

Long memory and outliers in stock market returns

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; OECD; STOCK MARKET;

EID: 0042315333     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100210161983     Document Type: Article
Times cited : (47)

References (18)
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    • Baillie, R.T.1
  • 3
    • 0030520821 scopus 로고    scopus 로고
    • Long term dependence in stock returns
    • Barkoulas, J. T. and Baum, C. F. (1996) Long term dependence in stock returns, Economics Letters, 53, 253-9.
    • (1996) Economics Letters , vol.53 , pp. 253-259
    • Barkoulas, J.T.1    Baum, C.F.2
  • 5
    • 0042723737 scopus 로고
    • On a class of M-estimators for Gaussian long-memory models
    • Beran, J. (1994) On a class of M-estimators for Gaussian long-memory models, Biometrika, 81, 755-66.
    • (1994) Biometrika , vol.81 , pp. 755-766
    • Beran, J.1
  • 6
    • 0032752492 scopus 로고    scopus 로고
    • Long memory and level shifts: Re-analyzing inflation rates
    • Bos, C. S., Franses, P. H. and Ooms, M. (1999) Long memory and level shifts: Re-analyzing inflation rates, Empirical Economics, 24, 427-49.
    • (1999) Empirical Economics , vol.24 , pp. 427-449
    • Bos, C.S.1    Franses, P.H.2    Ooms, M.3
  • 7
    • 21144473917 scopus 로고
    • Joint estimation of model parameters and outlier effects in time series
    • Chen, C. and Liu, L.-M. (1993) Joint estimation of model parameters and outlier effects in time series, Journal of the American Statistical Association, 88, 284-97.
    • (1993) Journal of the American Statistical Association , vol.88 , pp. 284-297
    • Chen, C.1    Liu, L.-M.2
  • 8
    • 0001533488 scopus 로고
    • A search for long memory in international stock market returns
    • Cheung, Y.-W. and Lai, K. S. (1995) A search for long memory in international stock market returns, Journal of International Money and Finance, 14, 597-615.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 597-615
    • Cheung, Y.-W.1    Lai, K.S.2
  • 9
    • 0003028907 scopus 로고
    • Some international evidence regarding the stochastic behavior of stock returns
    • Crato, N. (1994) Some international evidence regarding the stochastic behavior of stock returns, Applied Financial Economics, 4, 33-9.
    • (1994) Applied Financial Economics , vol.4 , pp. 33-39
    • Crato, N.1
  • 12
    • 84986759400 scopus 로고
    • The estimation and application of long memory time series models
    • Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-38.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 15
    • 0033176771 scopus 로고    scopus 로고
    • Maximum likelihood estimators for ARMA and ARFIMA models: A Monte Carlo study
    • Hauser, M. A. (1999) Maximum likelihood estimators for ARMA and ARFIMA models: A Monte Carlo study, Journal of Statistical Planning and Inference, 80, 229-55.
    • (1999) Journal of Statistical Planning and Inference , vol.80 , pp. 229-255
    • Hauser, M.A.1
  • 18
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    • Time series model specification in the presence of outliers
    • Tsay, R. S. (1986) Time series model specification in the presence of outliers, Journal of the American Statistical Association, 81, 132-41.
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    • Tsay, R.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.