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Eastern Mediterranean University Institutional Repository (EMU I-REP)
Article . 2009
Data sources: Eastern Mediterranean University Institutional Repository (EMU I-REP)
Claim

Testing for long memory in ISE using Arfima-figarch model and structural break test

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2009 English
Authors: Korkmaz, Turhan; Çevik, Emrah Ismail; Özataç, Nesrin;

handle: 11129/8357

Testing for long memory in ISE using Arfima-figarch model and structural break test

Abstract

This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility. Consequently, ISE is found as a weak form inefficient market due to volatility as it has a predictable component. © EuroJournals Publishing, Inc. 2009.

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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!
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