English, Article edition: WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS ANOUAR BEN MABROUK; HEDI KORTAS; SAMIR BEN AMMOU

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/40204
Physical Description
  • article
Language
  • English

Edition details

Title
  • WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
Author
  • ANOUAR BEN MABROUK
  • HEDI KORTAS
  • SAMIR BEN AMMOU
Physical Description
  • article
Notes
  • In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.
  • Wavelets, long memory, stock market, volatility
  • RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:297-317
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment