| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481981 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠Long memory is investigated via a wavelet-based fractional integration estimator. ⺠Long memory is observed in rolling windows in emerging market aggregate returns. ⺠The long memory feature observed in the market returns may be a spurious result. ⺠Evidence of long memory is found in twenty percent of the individual stocks. ⺠Predictability in the returns is associated with firm size.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pei P. Tan, Don U.A. Galagedera, Elizabeth A. Maharaj,