An edition of A non-random walk revisited (2008)

A non-random walk revisited

short- and long-term memory in asset prices

A non-random walk revisited
Paul Eitelman, Paul Eitelman
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Last edited by MARC Bot
October 29, 2020 | History
An edition of A non-random walk revisited (2008)

A non-random walk revisited

short- and long-term memory in asset prices

"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.

Publish Date
Language
English

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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.

Published in
Washington, D.C
Series
International finance discussion papers -- no. 956, International finance discussion papers (Online) -- no. 956.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

Edition Identifiers

Open Library
OL23557771M
LCCN
2009656126

Work Identifiers

Work ID
OL13820935W

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October 29, 2020 Edited by MARC Bot import existing book
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December 11, 2009 Created by WorkBot add works page