publication . Article . Preprint . Other literature type . 1996

Long memory in the Greek stock market

Barkoulas, J. T.; Christopher Baum; Travlos, N.;
Open Access
  • Published: 01 Dec 1996 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
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 long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.
free text keywords: emerging capital markets, long memory, forecasting, ARFIMA processes, spectral regression, jel:G14, jel:G15, jel:C53
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