Long-Term Memory in Stock Market Prices

Lo, A. W. (1991). Long-Term Memory in Stock Market Prices. Econometrica, 1279-1313.

Type

Journal article

Intellectual base

Primary research

Year

1991

DOI

10.2307/2938368

Link

https://doi.org/10.2307/2938368

Cited by

1 citation across 1 artifact.

Domain-specific

• Hurst Exponent
  • Lo constructed a modified rescaled-range test that adjusts its normalization for short-range dependence and found that the apparent long memory in the examined historical stock-return data did not survive that control.

Verification

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Registry ID ref:c714e6f0ba86 · see in the full table