Predicting BRICS stock returns using ARFIMA models
Year of publication: |
2014
|
---|---|
Authors: | Aye, Goodness C. ; Balcilar, Mehmet ; Gupta, Rangan ; Kilimani, Nicholas ; Nakumuryango, Amadine |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 16/18, p. 1159-1166
|
Subject: | fractional integration | long memory | stock returns | long-horizon prediction | ARFIMA | BRICS | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | BRICS-Staaten | BRICS countries | Börsenkurs | Share price |
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