Short and long memory in stock returns data

John Goddard and Enrico Onali

Economics Letters, 2012, vol. 117, issue 1, 253-255

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.

Keywords: Fractional integration; Long memory; Monte Carlo study; Stock returns (search for similar items in EconPapers)
JEL-codes: C13 C15 G1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:253-255

DOI: 10.1016/j.econlet.2012.05.016

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