Short and long memory in stock returns data

DOI10.1016/j.econlet.2012.05.016zbMath1254.91662OpenAlexW2010984000MaRDI QIDQ1925895

Enrico Onali, John Goddard

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.05.016

zbMATH Keywords

Monte Carlo studyfractional integrationlong memorystock returns

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Long memory and multifractality: a joint test

Cites Work

• Gaussian semiparametric estimation of long range dependence
• The scaling function-based estimator of long memory in the presence of a short-term component
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Comparing the bias and misspecification in ARFIMA models

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