Sample period selection and long-term dependence: New evidence from the Dow Jones index

Author:

Batten Jonathan A.,Ellis Craig A.,Fethertson Thomas A.

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference22 articles.

1. Long-range dependence and market structure;Cajueiro;Chaos, Solitons & Fractals,2007

2. Return anomalies on the Nikkei: are they statistical illusions;Batten;Chaos, Solitons & Fractals,2005

3. Regression free testing for the efficiency of T-Bill markets in Japan and the United States;Bos,1994

4. Real and spurious long-memory properties of stock-market data;Lobato;J Bus Econ Stat,1998

5. Long-term storage capacity of reservoirs;Hurst;Trans Am Soc Civil Eng,1951

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