A time-series model of stock returns with a positive short-term correlation and a negative long-term correlation

Review of Quantitative Finance and Accounting

Volumn 18, Issue 4, 2002, Pages 381-404

  Khil, Jaeuk ^a   Lee, Bong Soo ^b  

^a Hanyang University   (South Korea)

^b UNIVERSITY OF HOUSTON   (United States)

Author keywords

ARIMA model; Autocorrelation; Feedback trading; Short and long horizons; Stock returns

Indexed keywords

EID: 53949108293     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1015405820349     Document Type: Article

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