Vougas, Dimitrios - In: Applied Financial Economics 14 (2004) 6, pp. 457-460
A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using...