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Long memory in the Portuguese stock market
Floros, Christos; Jaffry, Shabbar; Lima, Goncalo Valle - In: Studies in Economics and Finance 24 (2007) September, pp. 220-232
Purpose – This paper's aim is to test for the presence of fractional integration, or long memory, in the daily returns of the Portuguese stock market using autoregressive fractionally integrated moving average (ARFIMA), generalised autoregressive conditional heteroskedasticity (GARCH) and...
Persistent link: https://www.econbiz.de/10005008732
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Long memory in the Portuguese stock market
Floros, Christos; Jaffry, Shabbar; Valle Lima, Goncalo - In: Studies in Economics and Finance 24 (2007) 3, pp. 220-232
Purpose – This paper's aim is to test for the presence of fractional integration, or long memory, in the daily returns of the Portuguese stock market using autoregressive fractionally integrated moving average (ARFIMA), generalised autoregressive conditional heteroskedasticity (GARCH) and...
Persistent link: https://www.econbiz.de/10015013563
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Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in economics and finance 30 (2013) 3, pp. 209-225
Persistent link: https://www.econbiz.de/10009772963
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Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of accounting & finance 12 (2013) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10010126725
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An investigation of cointegration and casualty relationships between the PIIGS' stock markets
Christopoulos, Apostolos G.; Papathanasiou, Spyros; … - In: European research studies 17 (2014) 2, pp. 109-123
Persistent link: https://www.econbiz.de/10012001625
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Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) February, pp. 23-43
the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The …
Persistent link: https://www.econbiz.de/10010814981
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Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in Economics and Finance 30 (2013) June, pp. 209-225
martingale hypothesis in the stock prices of the Portugal, Ireland, Italy, Greece and Spain (PIIGS economies) markets. This paper … in support of the weak-form efficiency of Italy and Spain. But Portugal, Ireland and Greece exhibit signs of long memory …
Persistent link: https://www.econbiz.de/10010691559
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Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in Economics and Finance 30 (2013) June, pp. 209-225
martingale hypothesis in the stock prices of the Portugal, Ireland, Italy, Greece and Spain (PIIGS economies) markets. This paper … in support of the weak-form efficiency of Italy and Spain. But Portugal, Ireland and Greece exhibit signs of long memory …
Persistent link: https://www.econbiz.de/10010711291
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Return and volatility spillover among the PIIGS economies and India
Kumar, Dilip; Maheswaran, Srinivasan - In: American Journal of Finance and Accounting 4 (2015) 1, pp. 28-49
This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the … Greece to India from both the bivariate and multivariate models. Greece acts as a major source of information influencing the …
Persistent link: https://www.econbiz.de/10011207762
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Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) 1, pp. 23-43
the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The …
Persistent link: https://www.econbiz.de/10014989652