Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

C-Tier

Journal: Journal of Empirical Finance

Year: 2004

Volume: 11

Issue: 3

Pages: 399-421

Authors (2)

Granger, Clive W. J. Hyung, Namwon (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

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