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

MoreLess

Year of publication:	2012
Authors:	Onali, Enrico
Other Persons:	Goddard, John (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Kapitaleinkommen \| Capital income \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 25, 2012 erstellt Volltext nicht verfügbar
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013106073