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Volume 20, Issue 2
1 February 1994
Managerial Finance Cover Image for Volume 20, Issue 2
Review Article| February 01 1994

Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities Available to Purchase

Nuno Crato;
Nuno Crato
Department of Pure and Applied Mathematics, Stevens Institute of Technology, Hoboken, NJ 07030, US, and Department of Economics, The Johns Hopkins University, Baltimore, MD 21218, US
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Pedro J.F. de Lima
Pedro J.F. de Lima
Department of Pure and Applied Mathematics, Stevens Institute of Technology, Hoboken, NJ 07030, US, and Department of Economics, The Johns Hopkins University, Baltimore, MD 21218, US
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Author & Article Information
Publisher: Emerald Publishing
Online ISSN: 1758-7743
Print ISSN: 0307-4358
© MCB UP Limited
1994
Managerial Finance (1994) 20 (2): 49–67.
https://doi.org/10.1108/eb018463

This paper is focused on two particular issues related to the stochastic structure of stock prices: linear long‐memory and nonlinearity.

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© MCB UP Limited
1994
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