Short and long memory in stock returns data

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 117
Issue: 1
Pages: 253-255

Authors (2)

Goddard, John (Bangor University) Onali, Enrico (University of Exeter)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:117:y:2012:i:1:p:253-255
Journal Field
General
Author Count
2
Added to Database
2026-01-25