Many authors have investigated the possibility of long memory in asset returns. Generally, very little
evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies
the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for
positive long memory in 7 of the 17 series considered.
Full paper (2323 KB PDF)
Home | IFDPs | List of 1999 IFDPs
To comment on this site, please fill out our feedback form.
Last update: July 19, 2001