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Long-term dependence in stock returns. (English) Zbl 0897.90037

Summary: We test for long-term dependence in US stock returns, analyzing composite and sectoral stock indices and firms’ returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices but are present in some firms’ returns series.

MSC:

91B62 Economic growth models
91B84 Economic time series analysis
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