Consider the daily simple returns of IBM stock from 1970 to 2008 in the file d-ibm3dx7008. txt.

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Consider the daily simple returns of IBM stock from 1970 to 2008 in the file d-ibm3dx7008. txt. Compute the first 100 lags of ACF of the absolute series of daily simple returns of IBM stock. Is there evidence of long-range dependence? Why?

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 07, 2024 12:00 PM

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Consider the daily simple returns of IBM stock from 1970 to 2008 in the file d-ibm3dx7008. txt.

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Analysis Of Financial Time Series

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