Artikel
Pitfalls in long memory research
This paper offers a multifaceted perspective of the literature on long memory. Although the research on long memory has played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the issue of the prevalence of long memory or lack thereof remains unsettled. While long memory models should be in the econometrician's toolbox, their use should be governed by an initial exploratory analysis of the data being studied and the context of the research questions being addressed. Mere fixation on the presence/absence of long memory without taking due cognisance of other confounding factors would pave way for confirmation bias. Consequently, this paper pinpoints the possible pitfalls and potential trade-offs in modeling long memory in asset prices. While not a comprehensive meta-analysis of the literature on long memory, this paper offers a selective bibliography of prior works on long memory that is geared to nudge researchers to exercise caution and judgement while exploring long memory in asset prices.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-14 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Financial Econometrics
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Long memory
efficiency
measures
review
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Saha, Kunal
Madhavan, Vinodh
Chandrashekhar, G. R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2020
- DOI
-
doi:10.1080/23322039.2020.1733280
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Saha, Kunal
- Madhavan, Vinodh
- Chandrashekhar, G. R.
- Taylor & Francis
Entstanden
- 2020
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