한국경영과학회:학술대회논문집 (Proceedings of the Korean Operations and Management Science Society Conference)
- 한국경영과학회 1998년도 추계학술대회 논문집
- /
- Pages.271-274
- /
- 1998
시계열 자료에 나타나는 장기 기억 속성에 대한 추정 및 검정 :NYSE composite index에 대한 실증분석
초록
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.
키워드