Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities

Abstract

This paper is focused on two particular issues related to the stochastic structure of stock prices: linear long‐memory and nonlinearity.

Citation

Crato, N. and de Lima, P.J.F. (1994), "Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities", Managerial Finance, Vol. 20 No. 2, pp. 49-67. https://doi.org/10.1108/eb018463