Skip to main content

Analysing long memory and volatility of returns in the Athens stock exchange

Buy Article:

$53.17 plus tax (Refund Policy)

Abstract:

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177-84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using an ARFIMA-GARCH model, estimated via conditional maximum likelihood (ML, hereafter), and find weaker evidence in favour of long memory.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/09603100410001673694

Affiliations: Department of Economics University of Wales Swansea Singleton Park Swansea SA2 8PP UK, Email: D.V.Vougas@swan.ac.uk

Publication date: March 15, 2004

More about this publication?

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more