Short and long memory in stock returns data

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.

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Year of publication:	2012
Authors:	Goddard, John ; Onali, Enrico
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 253-255
Publisher:	Elsevier
Subject:	Fractional integration \| Long memory \| Monte Carlo study \| Stock returns

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Type of publication:	Article
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580519