Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
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Cited by:
- Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
- Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023.
"A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
- Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
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More about this item
Keywords
Weak-Form Efficient Market Hypothesis; Long Memory; ARFIMA-FIGARCH model; Volatility.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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