A long memory property of stock market returns and a new model

C-Tier

Journal: Journal of Empirical Finance

Year: 1993

Volume: 1

Issue: 1

Pages: 83-106

Authors (3)

Ding, Zhuanxin (not in RePEc) Granger, Clive W. J. Engle, Robert F. (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count