In dem regelmäßig stattfindenden Oberseminar tragen Gäste aus aller Welt über Forschungsarbeiten zu Themen vor, die mit der Arbeit von CeVis und MeVis in Verbindung stehen, und Mitarbeiter von CeVis und MeVis präsentieren ihre neusten Ergebnisse.
Using the CRSP (Center for Research in Security Prices) daily stock return data, we revisit the question of whether or not actual stock market prices exhibit long-range dependence. This study is based on an empirical investigation of the modified rescaled adjusted range or R/S statistic that was proposed by Andrew Lo as a test for long-range dependence with good robustness properties under ``extra'' short-range dependence. Our main conclusion is that because the modified R/S statistic shows a strong preference for accepting the null hypothesis of no long-range dependence, irrespective of whether long-range dependence is present in the data or not, Lo's acceptance of the hypothesis for the CRSP data (i.e., no long-range dependence in stock market prices) is less conclusive than is usually regarded in the econometrics literature. In fact, upon further analysis of the data, we find empirical evidence of long-range dependence (measured via the Hurst parameter H) is typically very low (i.e., H-values around 0.60), the evidence is not absolutely conclusive.
This is joint work with Vadim Teverovsky and Walter Willinger.