A wavelet based investigation of long memory in stock returns

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 7, 2012, Pages 2330-2341

  Tan, Pei P ^a   Galagedera, Don U A ^a   Maharaj, Elizabeth A ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Long range dependence; Returns predictability; Wavelet fractional integration

Indexed keywords

EARNINGS; FINANCIAL MARKETS; INVESTMENTS; LOGISTIC REGRESSION; MAXIMUM LIKELIHOOD; STOCHASTIC SYSTEMS;

DETRENDED FLUCTUATION ANALYSIS; EARNINGS PER SHARE; FRACTIONAL INTEGRATION; LOGISTIC REGRESSION MODELING; LONG RANGE DEPENDENCE; RETURNS PREDICTABILITIES; STOCK RETURN PREDICTABILITY; WAVELET FRACTIONAL INTEGRATIONS;

COMMERCE;

EID: 84855901236     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.12.007     Document Type: Article

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