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Stock market prices and long-range dependence. (English) Zbl 0924.90029
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.
##### MSC:
 91B28 Finance etc. (MSC2000)