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

Bangor University

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

12 Citations (Scopus)

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",

month = oct,

doi = "10.1016/j.econlet.2012.05.016",

language = "English",

volume = "117",

pages = "253--255",

journal = "Economics Letters",

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T1 - Short and long memory in stock returns data

AU - Goddard, John

AU - Onali, Enrico

PY - 2012/10

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N2 - 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.

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

KW - long memory

KW - Monte Carlo study

KW - stock returns

UR - https://www.scopus.com/pages/publications/84861966013

U2 - 10.1016/j.econlet.2012.05.016

DO - 10.1016/j.econlet.2012.05.016

M3 - Article

AN - SCOPUS:84861966013

SN - 0165-1765

VL - 117

SP - 253

EP - 255

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Short and long memory in stock returns data

Abstract

Keywords

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