Long-term dependence in common stock returns
- 1 May 1977
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 4 (3) , 339-349
- https://doi.org/10.1016/0304-405x(77)90006-x
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- A Method for Simulating Stable Random VariablesJournal of the American Statistical Association, 1976
- On the Stable Paretian Behavior of Stock-Market PricesJournal of the American Statistical Association, 1974
- A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesEconometrica, 1973
- When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale ModelsThe Review of Economics and Statistics, 1971
- Efficient Capital Markets: A Review of Theory and Empirical WorkThe Journal of Finance, 1970
- Market and Industry Factors in Stock Price BehaviorThe Journal of Business, 1966
- Forecasts of Future Prices, Unbiased Markets, and "Martingale" ModelsThe Journal of Business, 1966
- The Typical Spectral Shape of an Economic VariableEconometrica, 1966
- The Behavior of Stock-Market PricesThe Journal of Business, 1965
- The Variation of Certain Speculative PricesThe Journal of Business, 1963