Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim Stock market prices and long-range dependence. (English) Zbl 0924.90029 Finance Stoch. 3, No. 1, 1-13 (1999). The authors investigate the modified rescaled adjusted range or \(R/S\) statistics as a test for long-range dependence. They show that the modified \(R/S\) statistics has a strong preference for accepting the null hypothesis of no long-range dependence irrespective of whether long-range dependence is present in the data or not. This result implies that when the modified \(R/S\) statistics method indicates that there is no evidence of long-range dependence in a given data set, it is necessary to re-examine the data using a diverse portfolio of time domain-based and frequency domain-based graphical and statistical methods to confirm or to refuse this finding. Reviewer: A.D.Borisenko (Kyïv) Cited in 78 Documents MSC: 91B28 Finance etc. (MSC2000) Keywords:stock price returns; long-range dependence; rescaled adjusted range PDFBibTeX XMLCite \textit{W. Willinger} et al., Finance Stoch. 3, No. 1, 1--13 (1999; Zbl 0924.90029) Full Text: DOI