Real and Spurious Long-Memory Properties of Stock-Market Data
用稳健的半参数方法检验日度股票收益率及其平方的长记忆性，发现非平稳性和加总可能产生虚假结果。
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.