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- W1845776875 abstract "Stock market returns may follow biased time paths that standard statistical tests cannot distinguish from random behavior. Rescaled range analysis can be used to detect long-term, nonperiodic cycles in stock market returns. If this technique is not applied correctly, however, then it can be influenced by short-term biases, leading to the erroneous conclusion that the stock market has long-term memory. Applying the recently developed Lo test, which does not rely on standard regression techniques and is robust to short-term dependence, provides statistical support for the hypothesis that stock market returns follow a random walk." @default.
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- W1845776875 date "1993-05-01" @default.
- W1845776875 modified "2023-09-26" @default.
- W1845776875 title "Fractal Structure in the Capital Markets Revisited" @default.
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- W1845776875 doi "https://doi.org/10.2469/faj.v49.n3.73" @default.
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