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Spurious Long-range Dependence in Emerging Financial Markets
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Gelman S. V., Bryzgalova S.
The paper is organized as follows. Section 2 discusses the properties of long memory processes and their application in finance, section 3 focuses on the dichotomy between long-range dependence and structural breaks. Section 4 describes the used methodology, section 5 provides the data description. Finally, section 6 presents the results of the estimation, and section 7 concludes, summarizing findings and outlining directions for future research.
In book
Кн. 1. , М. : Издательский дом ГУ-ВШЭ, 2010