Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
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- Alper Ozun & Atilla Cifter, 2008. "Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets," Studies in Economics and Finance, Emerald Group Publishing, vol. 25(1), pages 38-48, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Quinton Morris & Gary Van vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
- Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
More about this item
KeywordsLong-term memory; Wavelets; Stock prices; GPH test;
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-ECM-2007-04-09 (Econometrics)
- NEP-ETS-2007-04-09 (Econometric Time Series)
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