Short and long memory in stock returns data

J.A. Goddard; E. Onali

doi:10.1016/j.econlet.2012.05.016

Short and long memory in stock returns data

J.A. Goddard
, E. Onali

Prifysgol Bangor

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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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.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	253-255
Cyfnodolyn	Economic Letters
Cyfrol	117
Rhif cyhoeddi	1
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/j.econlet.2012.05.016
Statws	Cyhoeddwyd - 1 Hyd 2012

Mynediad at Ddogfen

10.1016/j.econlet.2012.05.016

Dyfynnu hyn

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title = "Short and long memory in stock returns data",

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.",

author = "J.A. Goddard and E. Onali",

year = "2012",

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day = "1",

doi = "10.1016/j.econlet.2012.05.016",

language = "English",

volume = "117",

pages = "253--255",

journal = "Economic Letters",

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AU - Goddard, J.A.

AU - Onali, E.

PY - 2012/10/1

Y1 - 2012/10/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.econlet.2012.05.016

DO - 10.1016/j.econlet.2012.05.016

M3 - Article

SN - 0165-1765

VL - 117

SP - 253

EP - 255

JO - Economic Letters

JF - Economic Letters

IS - 1

ER -

Short and long memory in stock returns data

Crynodeb

Mynediad at Ddogfen

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