R/S Nonlinear Analysis on the Long Memory of Chinese Stock Markets Return

Hao Qing-min · Industrial Engineering and Engineering Management · 2007

R/S non-linear estimate and ARFIMA model are used to study the long memory in Chinese stock returns.The results show: long memory exist on Chinese stock returns only except for a few samples,long memory in Shenzhen stock is more powerful than those in Shanghai stock.

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