Mean reversion and long memory in African stock market prices
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- Luis A. Gil-Alana & Emmanuel Anoruo, 2010. "Mean reversion and long memory in African stock market prices," Faculty Working Papers 05/10, School of Economics and Business Administration, University of Navarra.
- Emmanuel Anoruo & Luis Alberiko Gil-Alaña, 2010. "Mean reversion and long memory in African stock market prices," NCID Working Papers 01/2011, Navarra Center for International Development, University of Navarra.
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More about this item
KeywordsLong Memory; Fractional Integration; Stock Market Returns; C4; F3; G15;
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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