Spurious long-range dependence: evidence from Malaysian equity markets
作者： Wencheong Chin
DOI:
关键词: Equity (finance) 、 Spurious relationship 、 Econometrics 、 Stock exchange 、 Economics
摘要: In this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of Malaysian stock exchange. We studied 20 years daily data which included pre- and post-economic crises encountered in The unawareness economic shocks short-range all indices has triggered spurious our empirical results. It also found that estimation robust under presence dependence.
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