Portuguese stock market: A long-memory process?
This paper gives a basic overview of the various attempts at modelling stochastic processes for stock markets with a specific application to the Portuguese stock market data. Long-memory dependence in the stock prices would completely alter the data generation process and econometric models not cons...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2011-03-01
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| Series: | Business: Theory and Practice |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8853 |