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January 30, 2010 | History

A non-random walk revisited 1 edition

A non-random walk revisited
Paul Eitelman

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A non-random walk revisited
short- and long-term memory in asset prices
Paul Eitelman and Justin Vitanza.

Published 2008 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies. Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets. We also make a methodological contribution. Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe. Tests that reject the null hypothesis tend to do so across any reasonable choice in lag"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

International finance discussion papers -- no. 956, International finance discussion papers (Online) -- no. 956.


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History Created December 11, 2009 · 2 revisions Download catalog record: RDF / JSON

January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page