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Memoria larga en la estructura de los rendimientos en mercados desarrollados
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The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computeddoi:10.5295/cdg.110312sb fatcat:44hr56pjpbcvhcie73sqncql7m