Long-range dependence in the international diamond market
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL

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摘要This work endeavors to study the long-range dependence of the international diamond market. The results from the modified R/S statistic suggest that diamond returns do not have long memory, while strong evidence is found for long memory in diamond volatilities. (C) http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2 Elsevier B.V. All rights reserved.

着者Chong TTL, Lu CX, Chan WH
期刊名称Economics Letters
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2
月份9
日期1
卷号116
期次3
出版社Elsevier
页次401 - 403
国际标準期刊号0165-1765
电子国际标準期刊号1873-7374
语言英式英语

关键词Diamond market; Long memory; Modified R/S statistic
Web of Science 学科类别Business & Economics; Economics; ECONOMICS