Long memory in emerging market stock returns
Board of Governors of the Federal Reserve System, 1999 - Business & Economics - 20 pages
What people are saying - Write a review
We haven't found any reviews in the usual places.
17 countries 17 series ARFIMA model Argentina asset returns bandwidth choices Barkoulas baseline Baum and Travlos Business and Economic Cheung Chile Colombia developed markets Economic Statistics emerging market returns EMERGING MARKET STOCK Empirical Finance evidence for long evidence for positive exchange rate returns Federal Reserve System Finance Discussion Papers Frequency Gaussian fractionally integrated Geweke GPH test Granger Greece International Finance Discussion Jonathan H Journal of Business Journal of Empirical Korea Lobato Malaysia Market Integration MARKET STOCK RETURNS martingale memory in asset MEMORY IN EMERGING memory in U.S. Memory Time Series modified rescaled range nearest integer Nigeria periodogram Philippines point estimates Porter-Hudak 1983 positive long memory Price reported in Table rescaled range statistic rescaled range test RETURNS Jonathan H Risk Robinson sample semiparametric Sensitivity Analysis serial correlation Series Analysis Series Models standard Stochastic Volatility STOCK RETURNS Jonathan t-statistic tested for long Tests for Fractional Thailand U.S. dollar World Bank Wright Zimbabwe