In this paper we show that the logarithmic returns of the Hang Seng index from January 2, 1987 to November 14, 2005 statistically resemble a sequence of independent identically distributed Lévy stable random variables. This is in stark contrast to Xiu and Jin (2007) , where long-memory FARIMA processes with Gaussian noise were suggested as well fitted to the data. The lack of memory is checked...
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