Time-varying persistence in the German stock market
This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is cal...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Universität Potsdam
2010
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-42046 http://opus.kobv.de/ubp/volltexte/2010/4204/ |