LONG MEMORY IN EASTERN EUROPEAN FINANCIAL MARKETS RETURNSReport as inadecuate




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Economic research - Ekonomska istraživanja, Vol.25 No.2 June 2012. -

The paper examines the long

memory property of stock returns

and its implications using daily

index returns for eight CEE

emerging markets: Romania, Hungary,

Czech Republic, Poland, Slovenia,

Bulgaria, Slovakia, and Croatia. Several

nonparametric methods for testing for

long memory are employed, as well as

parametric long memory models. The

ARFIMA-FIGARCH model seems the

most appropriate specification since the

nonlinearity tests can not reject the null

of independent and identically distributed

residuals, implying that this specification

accounts for the nonlinearity in the data.

The estimated fractional differencing

parameter is statistically significant in seven

of the eight emerging economies employed

in the study, suggesting the presence of long

memory in the returns in these financial

markets.

long memory; ARFIMA; FIGARCH; nonlinearity; emerging markets



Author: ALINA-NICOLETA RADU -

Source: http://hrcak.srce.hr/



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