R/S Analysis and Long Term Dependence in Stock Market Indices

  • David Nawrocki
  • Published 2000

Abstract

Recent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range (R/S) analysis have not found evidence of a mean reversion or ergodic process. Instead, evidence from these studies indicate either long term persistence in a nonperiodic cycle or short run Markovian dependence… (More)

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Cite this paper

@inproceedings{Nawrocki2000RSAA, title={R/S Analysis and Long Term Dependence in Stock Market Indices}, author={David Nawrocki}, year={2000} }