Market dependence and economic events.

Recent studies on stock market pricing have rejected the random walk model for short term periods and are concentrating on long term persistent or mean-reverting dependence. The problem with these studies is that their statistical results can be biased by the shorter term dependence. Rather than try...

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Bibliographic Details
Main Author: Nawrocki, David.
Format: Villanova Faculty Authorship
Language:English
Published: 1996
Online Access:http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:178243