Abstract
The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries.
Original language | English |
---|---|
Pages (from-to) | 253-255 |
Number of pages | 3 |
Journal | Economics Letters |
Volume | 117 |
Issue number | 1 |
DOIs | |
Publication status | Published - Oct 2012 |
Research Groups and Themes
- AF Financial Markets
Keywords
- Fractional integration
- Long memory
- Monte Carlo study
- Stock returns