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SSRN Electronic Journal
Article . 1997 . Peer-reviewed
Data sources: Crossref
Applied Financial Economics
Article . 2000 . Peer-reviewed
Data sources: Crossref
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Long Memory In The Greek Stock Market

Authors: John T. Barkoulas; Christopher F. Baum; Nickolaos Travlos;

Long Memory In The Greek Stock Market

Abstract

Tests are made of the 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.

Keywords

emerging capital markets, long memory, forecasting, ARFIMA processes, spectral regression, jel: jel:G14, jel: jel:G15, jel: jel:C53

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    135
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
135
Top 10%
Top 1%
Average
bronze