Long Memory in the Greek Stock Market

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John T. Barkoulas; Christopher F. Baum; Nickolaos Travlos;
  • Subject: emerging capital markets, long memory, forecasting, ARFIMA processes, spectral regression
    • jel: jel:C53 | jel:G15 | jel:G14

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... View more
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