Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?
This paper analyses the existence of long memory in the major stock markets in the world, and if this is the case, whether it’s due to the type of econometric models used, the period of study or the frequency of data (intraday, daily, weekly, etc.)? To do this, we perform a comparative analysis betw...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Autónoma de Nuevo León, Facultad de Economía
2017-04-01
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| Series: | Ensayos Revista de Economía |
| Subjects: | |
| Online Access: | http://ensayos.uanl.mx/index.php/ensayos/article/view/4 |