eBangor

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

Full text not available from this repository.

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.

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
Administer Item Administer Item

eBangor is powered by EPrints 3 which is developed by the School of Electronics and Computer Science at the University of Southampton. More information and software credits.