Mohammadi, Shapour; Pouyanfar, Ahmad - In: Applied Financial Economics 21 (2011) 3, pp. 183-194
In this article, we show that the memory of markets has nonchaotic behaviour. Its time trend is neutral and nonlinearity tests such as Brock, Dechert, Sheinkman (BDS) rejects nonlinearity in stock markets' memories. The estimation of fractional differencing parameters is carried out by various...