References
- Crato , N. 1994 . Some international evidence regarding the stochastic memory of stock returns . Applied Financial Economics , 4 : 33 – 39 .
- Feder , J. 1988 . Fractals , New York : Plenum Press .
- Granger, C. W. J. and Ding Z. (1994) Stylised facts on the temporal and distributional properties of daily data from speculative markets, Discussion Paper, Department of Economics, University of California, San Diego.
- Greene , M. T. and Fielitz , B. D. 1977 . Long-term dependence in common stock returns . Journal of Financial Economics , 4 : 339 – 49 .
- Grubichler, A. and Longstaff, F. A. (1994) Valuing futures and options on volatility, Discussion paper No. 3–94, Anderson Graduate School of Management, University of California, Los Angeles.
- Hurst , H. 1951 . Long term storage capacity of reservoirs . Transactions of the American Society of Civil Engineers , 116 : 770 – 99 .
- Lo , A. 1991 . Long-term memory in stock market prices . Econometrica , 59 ( 5 ) : 1279 – 313 .
- Mandelbrot , B. B. 1972 . Statistical methodology for nonperiod cycles: from convariance to R/S analysis . Annals of Economic and Social Measurement , 283 : 259 – 90 .
- Mandelbrot , B. B. 1982 . The Fractal Geometry of Nature , New York : WH Freeman .
- Mandelbrot , B. B. and Van Ness , J. W. 1968 . Fractional Brownian motions, fractional noises and applications . SIAM Review , : 422 – 37 .
- Mandelbrot , B. B. and Wallis , J. R. 1969 . Robustness of the rescaled range R/S in the measurement of noncyclical long run statistical dependence . Water Resources Research , 5 : 976 – 88 .
- Mills , T. C. 1993 . Is there long-term memory in UK stock returns . Applied Financial Economics , 3 : 303 – 6 .