Short and Long Memory in Stock Returns Data
Posted: 27 May 2012
Date Written: May 25, 2012
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
JEL Classification: C13, C15, G1
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