Fractional integration in daily stock market indexes

Review of Financial Economics

Volumn 15, Issue 1, 2006, Pages 28-48

  Gil Alana, L A ^a  

^a UNIVERSITY OF NAVARRA   (Spain)

Author keywords

Long memory; Mean reversion; Stock market; Unit roots

Indexed keywords

EID: 30344435319     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2005.02.003     Document Type: Article

References (53)

1. R.K. Adenstedt On large sample estimation for the mean of a stationary random sequence Annals of Statistics 2 1974 259-272
2. C. Agaikloglou P. Newbold & M. Wohar Bias in an estimator of the fractional difference parameter Journal of Time Series Analysis 14 1992 235-246
3. R.T. Baillie & T. Bollerlev The long memory of the forward premium Journal of International Money and Finance 15 1994 565-571
4. J.T. Barkoulas & C.F. Baum Long term dependence in stock returns Economics Letters 53 1996 253-259
5. J.T. Barkoulas C.F. Baum & N. Travlos Long memory in the Greek stock market Applied Financial Economics 10 2000 177-184
6. J. Beran Statistics for long memory processes 1994 Chapman and Hall New York
7. P. Bloomfield An exponential model in the spectrum of a scalar time series Biometrika 60 1973 217-226
8. G.M. Caporale & L.A. Gil-Alana Fractional integration and mean reversion in stock prices Quarterly Review of Economics and Finance 42 2002 599-609
9. M. Chambers Long memory and aggregation in macroeconomic time series International Economic Review 39 1998 1053-1072
10. Y.-W. Cheung & K.S. Lai A search for long memory in international stock market returns Journal of International Money and Finance 14 1995 597-615
11. R. Cioczek-Georges & B.B. Mandelbrot A class of micropulses and anti-persistent fractional Brownian motion Stochastic Processes and Their Applications 60 1995 1-18
12. N. Crato Some international evidence regarding the stochastic behaviour of stock returns Applied Financial Economics 4 1994 33-39
13. F.S. Diebold & A. Inoue Long memory and regime switching Journal of Econometrics 105 2001 131-159
14. F.X. Diebold & G.D. Rudebusch Long memory and persistence in the aggregate output Journal of Monetary Economics 24 1989 189-209
15. E.F. Fama & K.R. French Permanent and transitory components of stock prices Journal of Political Economy 96 1988 246-273
16. P.H. Franses & D. Van Dijk Non-linear time series models in empirical finance 2000 Cambridge University Press
17. J. Geweke & S. Porter-Hudak The estimation and application of long memory time series models Journal of Time Series Analysis 4 1983 221-238
18. L.A. Gil-Alana Mean reversion in the real exchange rates Economics Letters 16 2000 285-288
19. L.A. Gil-Alana & P.M. Robinson Testing of unit roots and other nonstationary hypotheses in macroeconomic time series Journal of Econometrics 80 1997 241-268
20. C.W.J. Granger Long memory relationships and the aggregation of dynamic models Journal of Econometrics 14 1980 227-238
21. C.W.J. Granger Some properties of time series data and their use in econometric model specification Journal of Econometrics 16 1981 121-130
22. C.W.J. Granger & Z. Ding Some properties of absolute returns. An alternative measure of risk Annales d'Economie et de Statistique 40 1995 67-91
23. Granger, C. W. J. & Ding, Z. (1995b). Stylized facts on the temporal and distributional properties of daily data from speculative markets. UCSD Working Paper.
24. C.W.J. Granger & Z. Ding Varieties of long memory models Journal of Econometrics 73 1996 61-78
25. C.W.J. Granger & R. Joyeux An introduction to long memory time series and fractionally differencing Journal of Time Series Analysis 1 1980 15-29
26. C.W.J. Granger & T. Terasvirta A simple nonlinear time series model with misleading linear properties Economics Letters 62 1999 161-165
27. O.T. Henry Long memory in stock returns. Some international evidence Applied Financial Economics 12 2002 725-729
28. C. Hiemstra & J.D. Jones Another long at long memory in common stock returns Journal of Empirical Finance 4 1997 373-401
29. J.R.M. Hosking Modelling persistence in hydrological time series using fractional differencing Water Resources Research 20 1981 1898-1908
30. H.E. Hurst Long-term storage capacity of reservoirs Transactions of the American Society of Civil Engineers 116 1951 770-779
31. H. Künsch Discrimination between monotonic trends and long-range dependence Journal of Applied Probability 23 1986 1025-1030
32. A.W. Lo Long-term memory in stock prices Econometrica 59 1991 1279-1313
33. A.W. Lo & A.C. MacKinley Stock market prices do not follow a random walk: Evidence from a simple specification test Review of Financial Studies 1 1988 41-66
34. B.B. Mandelbrot When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models Review of Economics and Statistics 53 1971 225-236
35. B.B. Mandelbrot Statistical methodology for non periodic cycles: From the covariance to R\S analysis Annals of Economic and Social Measurement 1 1972 259-290
36. B.B. Mandelbrot Limit theorems on the self-normalized range for weakly and strongly dependent processes Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 31 1975 271-285
37. B.B. Mandelbrot & M.S. Taqqu Robust R/S analysis of long run serial correlation in: Proceedings of the 42nd Session of the International Statistical Institute, Manila 1979
38. B.B. Mandelbrot & J.R. Wallis Noah, Joseph and operational hydrology Water Resources Research 4 1968 909-918
39. B.B. Mandelbrot & J.R. Wallis Some long run properties of geophysical records Water Resources Research 5 1969 321-340
40. W.R. Parke What is fractional integration? The Review of Economics and Statistics 81 1999 632-638
41. J.M. Poterba & L.H. Summers Mean reversion in stock prices: Evidence and implications Journal of Financial Economics 22 1988 27-59
42. P.M. Robinson Statistical inference for a random coefficient autoregressive model Scandinavian Journal of Statistics 5 1978 163-168
43. P.M. Robinson Efficient tests of nonstationary hypotheses Journal of the American Statistical Association 89 1994 1420-1437
44. P.M. Robinson Semiparametric analysis of long memory time series Annals of Statistics 22 1994 515-539
45. P.M. Robinson Gaussian semiparametric estimation of long range dependence Annals of Statistics 23 1995 1630-1661
46. P.M. Robinson Log-periodogram regression of time series with long range dependence Annals of Statistics 23 1995 1048-1072
47. T. Ryden T. Terasvirta & S. Asbrink Stylized facts of daily return series and the hidden Markov model Journal of Applied Econometrics 13 1998 217-244
48. S. Sadique & P. Silvapulle Long-term memory in stock market returns. International evidence International Journal of Finance and Economics 6 2001 59-67
49. F. Sowell Maximum likelihood estimation of stationary univariate fractionally integrated time series models Journal of Econometrics 53 1992 165-188
50. M.S. Taqqu Weak convergence to fractional motion and to the Rosenblatt process Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 31 1975 287-302
51. M.S. Taqqu W. Willinger & R. Sherman Proof of a fundamental result in self-similar traffic modelling Computer Communication Review 27 1997 5-23
52. J. Tolvi Long memory and outliers in stock market returns Applied Financial Economics 13 2003 495-502
53. Y. Yajima Estimation of long memory time series models Australian Journal of Statistics 27 1985 303-320