Proceedings of the Korean Operations and Management Science Society Conference (한국경영과학회:학술대회논문집)

The Korean Operations Research and Management Science Society (한국경영과학회)
권호 표지

시계열 자료에 나타나는 장기 기억 속성에 대한 추정 및 검정 :NYSE composite index에 대한 실증분석

  • 남재우 (한국과학기술원 테크노경영대학원) ;
  • 이회경 (한국과학기술원 테크노경영대학원)
  • Published : 1998.10.01
Download PDF
⟨ Previous Next ⟩

Abstract

In this paper we examine long-term memory of the financial time-series by employing the R/S analysis, the Hurst exponent estimation, and the modified R/S analysis. The null hypothesis of white-noise is tested using the NYSE daily indexes from January 1966 to July 1998, and the results show that long-range dependence exists before the apparent structural break of the Black Monday in 1987.

Keywords