Short and long memory in stock returns data
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
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 y cyfnodolyn | 1 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 1 Hyd 2012 |