Short and long memory in stock returns data

John Goddard*, Enrico Onali

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)253-255
Number of pages3
JournalEconomics Letters
Issue number1
Early online date22 May 2012
Publication statusPublished - Oct 2012


  • fractional integration
  • long memory
  • Monte Carlo study
  • stock returns


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