English, Article, Journal or magazine article edition: Long Memory in the Greek Stock Market John T. Barkoulas; Christopher F. Baum; Nickolaos Travlos

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Bookmark: http://trove.nla.gov.au/version/72970
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long Memory in the Greek Stock Market
Author
  • John T. Barkoulas
  • Christopher F. Baum
  • Nickolaos Travlos
Physical Description
  • preprint
Notes
  • We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.
  • emerging capital markets, long memory, forecasting, ARFIMA processes, spectral regression
  • RePEc:boc:bocoec:356
Language
  • English
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