Spurious Long-range Dependence in Emerging Financial Markets

Гельман С. В., Брызгалова С. А.

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.

Ключевые слова: развивающиеся финансовые рынки, Long-range Dependence, Emerging Financial Markets, долгосрочная зависимость

В книге

X Международная научная конференция по проблемам развития экономики и общества: В 3 кн.

Кн. 1. , М.: Издательский дом ГУ-ВШЭ, 2010.