Purpose – This paper, using Turkish stock index data, set outs to present long-term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long-memory better than conventional techniques. Design/methodology/approach – Haar and...

Long-term memory effect in stock prices might be captured, if any, with alternative models. Though Geweke and Porter-Hudak (1983) test model the long memory with the OLS estimator, a new approach based on wavelets analysis provide WOLS estimator for the memory effect. This article examines the...

Purpose – This paper, using Turkish stock index data, set outs to present long‐term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long‐memory better than conventional techniques. Design/methodology/approach – Haar...