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16th Australian Statistical Conference
July 7-11, 2002
National Convention Centre
Canberra, ACT, Australia

Organizers
Statistical Society of Australia Incorporated, Michael Adena - Chair Organising Committee, Kerrie Mengersen - Chair Program Committee

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Modes of long range dependence and checking for its presence in risky asset models
by
Chris Heyde
Australian National University and Columbia University

The presence or otherwise of long range dependence in a wide variety of risky asset models has been clouded by controversy. The issues will be clarified in this talk via the concepts of persistencce of signs and persistence of magnitudes.

Date received: June 2, 2002

Copyright © 2002 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cajg-97.