Short and long memory in stock returns data
Research output: Contribution to journal › Article › peer-review
Electronic versions
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.
| Original language | English |
|---|---|
| Pages (from-to) | 253-255 |
| Journal | Economic Letters |
| Volume | 117 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Oct 2012 |