City University of Hong Kong

CityU Institutional Repository >
3_CityU Electronic Theses and Dissertations >
ETD - Dept. of Mathematics  >
MA - Master of Philosophy  >

Please use this identifier to cite or link to this item:

Title: Memory effect in financial data : estimation and test
Other Titles: Jin rong shu ju zhong de ji yi xiao ying : gu ji yu jian yan
金融數據中的記憶效應 : 估計與檢驗
Authors: Deng, Jialin (鄧嘉琳)
Department: Department of Mathematics
Degree: Master of Philosophy
Issue Date: 2007
Publisher: City University of Hong Kong
Subjects: Econometrics.
Time-series analysis.
Notes: iv, 52 leaves : ill. 30 cm.
Thesis (M.Phil.)--City University of Hong Kong, 2007.
Includes bibliographical references (leaves [51]-52)
CityU Call Number: HB139 .D46 2007
Type: thesis
Abstract: In this thesis, I will use several statistics to detect long-range dependence in time series. I will begin the investigation with the Whittle method introduced by Whittle (1951) for random variables and the classical R/S method introduced by Mandelbrot and his coworkers in 1968, which was developed by Hurst (1951) in his studies of the Nile River discharges. Since the R/S statistic has strong preference towards longrange dependence, the most important shortcoming is its insensitivity to short-range dependence. Then, I will describe Lo’s method (1991), the modified R/S statistic, and use this method to overcome these shortcomings. In his method, Lo introduced the parameter q to construct S(q), the square root of a consistent estimator of partial sum’s variance, replaced S by this S(q). Then a problem comes out. The result of Lo’s method is asymptotic, but in practice, the sample size always be finite. Then I will discuss the ’right’ choice of the q, even this topic is still an open question now. After these, I am going to analyze the returns of the stock market by using these methods, hope to find if any evidence of long-range dependence in returns for stock market prices.
Online Catalog Link:
Appears in Collections:MA - Master of Philosophy

Files in This Item:

File Description SizeFormat
abstract.html134 BHTMLView/Open
fulltext.html134 BHTMLView/Open

Items in CityU IR are protected by copyright, with all rights reserved, unless otherwise indicated.


Valid XHTML 1.0!
DSpace Software © 2013 CityU Library - Send feedback to Library Systems
Privacy Policy · Copyright · Disclaimer