| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085068 | International Review of Financial Analysis | 2012 | 11 Pages |
Abstract
⺠RRA performs poorly when returns are L-stable with infinite higher-order moments. ⺠Variants of fluctuation analysis identify long-range dependent and L-stable returns. ⺠The techniques are illustrated using daily returns data for 11 stock market indices. ⺠Several small-capitalization stock markets exhibit long-range dependence.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
John Goddard, Enrico Onali,