Analysing long memory and volatility of returns in the Athens stock exchange

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using an ARFIMA-GARCH model, estimated via conditional maximum likelihood (ML, hereafter), and find weaker evidence in favour of long memory.

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Year of publication:	2004
Authors:	Vougas, Dimitrios
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 14.2004, 6, p. 457-460
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005452181