A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments
In this paper, by considering a model-based approach for conditional moment estimation, a nonparametric test was performed to study the long-memory property of higher moments. We considered the daily returns of the stocks included in the S&P500 index in the last ten years (for the period running...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/5/707 |