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Long-range dependence in monthly UK stock returns is investigated using Lo's (1991) extension of the ‘rescaled range’ (R/S) statistic and fractional ARIMA models. Although some evidence is uncovered in favour of long-range dependence, it is not convincing, particularly given the lack of such dependence in other UK macroeco-nomic series.
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Terence C. Mills (1993) studied this question.
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