TY - JOUR
T1 - Long memory in the Greek stock market
AU - Barkoulas, John T.
AU - Baum, Christopher F.
AU - Travlos, Nickolaos
PY - 2000
Y1 - 2000
N2 - Tests are made of the stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.
AB - Tests are made of the stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.
UR - http://www.scopus.com/inward/record.url?scp=0037788665&partnerID=8YFLogxK
U2 - 10.1080/096031000331815
DO - 10.1080/096031000331815
M3 - Article
AN - SCOPUS:0037788665
SN - 0960-3107
VL - 10
SP - 177
EP - 184
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 2
ER -