Short and Long Memory in Stock Returns Data

Posted: 27 May 2012

See all articles by Enrico Onali

Enrico Onali

University of Exeter Business School

John Goddard

Bangor University - Bangor University

Date Written: May 25, 2012

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.

Keywords: fractional integration, long memory, Monte Carlo study, stock returns

JEL Classification: C13, C15, G1

Suggested Citation

Onali, Enrico and Goddard, John, Short and Long Memory in Stock Returns Data (May 25, 2012). Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2066484

Enrico Onali

University of Exeter Business School ( email )

Exeter
United Kingdom

John Goddard (Contact Author)

Bangor University - Bangor University ( email )

Bangor, Wales LL57 2DG
United Kingdom

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