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Stock market prices and long-range dependence |
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| Authors: | Walter Willinger Murad S. Taqqu Vadim Teverovsky |
| Affiliation: | (1) AT&T Labs-Research, 180 Park Avenue, C284, Florham Park, NJ 07932, USA (e-mail: walter@research.att.com) , US;(2) Boston University, Department of Mathematics, Boston, MA 02215, USA , US |
| Abstract: | |
| Keywords: | : Long-range dependence fractional Gaussian noise fractional ARIMA long memory R/S stock prices JEL classification: C13 C15 C52 G10 Mathematics Subject Classification (1991): 60G18 62-09 |
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