Short and long memory in stock returns data

John Goddard; Enrico Onali

doi:10.1016/j.econlet.2012.05.016

Short and long memory in stock returns data

John Goddard^*, Enrico Onali

^*Corresponding author for this work

Aston Business School

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	253-255
Number of pages	3
Journal	Economics Letters
Volume	117
Issue number	1
Early online date	22 May 2012
DOIs	https://doi.org/10.1016/j.econlet.2012.05.016
Publication status	Published - Oct 2012

Keywords

fractional integration
long memory
Monte Carlo study
stock returns

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10.1016/j.econlet.2012.05.016

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title = "Short and long memory in stock returns data",

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",

author = "John Goddard and Enrico Onali",

year = "2012",

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language = "English",

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AU - Onali, Enrico

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AB - 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.

KW - fractional integration

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KW - Monte Carlo study

KW - stock returns

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JO - Economics Letters

JF - Economics Letters

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ER -

Short and long memory in stock returns data

Abstract

Keywords

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