Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

Journal of Empirical Finance

Volumn 11, Issue 3, 2004, Pages 399-421

  Granger, Clive W J ^a   Hyung, Namwon ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b University of Seoul   (South Korea)

Author keywords

Absolute stock return; Autocorrelation; Long memory; Occasional structural breaks

Indexed keywords

EID: 1942444547     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.03.001     Document Type: Article

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