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

Bangor University

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	253-255
Journal	Economic Letters
Volume	117
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2012.05.016
Publication status	Published - 1 Oct 2012

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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",

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AU - Onali, E.

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JO - Economic Letters

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Short and long memory in stock returns data

Abstract

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