Short and long memory in stock returns data

John Goddard*, Enrico Onali

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

12 Citations (Scopus)

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 languageEnglish
Pages (from-to)253-255
Number of pages3
JournalEconomics Letters
Volume117
Issue number1
DOIs
Publication statusPublished - Oct 2012

Research Groups and Themes

  • AF Financial Markets

Keywords

  • Fractional integration
  • Long memory
  • Monte Carlo study
  • Stock returns

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