Short and long memory in stock returns data

Goddard, J. and Onali, E. (2012) Short and long memory in stock returns data. Economic Letters, 117 ((1)). pp. 253-255. DOI: 10.1016/j.econlet.2012.05.016

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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.

Item Type: Article
Subjects: Research Publications
Date Deposited: 09 Dec 2014 16:49
Last Modified: 23 Sep 2015 03:11
ISSN: 0165-1765
URI: http://e.bangor.ac.uk/id/eprint/1161
Identification Number: DOI: 10.1016/j.econlet.2012.05.016
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