Floros, Christos; Jaffry, Shabbar; Lima, Goncalo Valle - In: Studies in Economics and Finance 24 (2007) September, pp. 220-232
Purpose – This paper's aim is to test for the presence of fractional integration, or long memory, in the daily returns of the Portuguese stock market using autoregressive fractionally integrated moving average (ARFIMA), generalised autoregressive conditional heteroskedasticity (GARCH) and...
