DiSario, Robert; Saraoglu, Hakan; McCarthy, Joseph; Li, Hsi - In: Journal of International Financial Markets, … 18 (2008) 4, pp. 305-312
We use methods based on wavelets and aggregate series, which have gained growing acceptance in the finance literature, to test for long memory in the absolute value, squared, and log squared daily returns of the Istanbul Stock Exchange National 100 Index. Our results show that all three...