Permanent structural changes in the Brazilian economy and long memory: A stock market perspective

Applied Economics Letters

Volumn 9, Issue 6, 2002, Pages 373-375

  Resende, Marcelo ^a   Teixeira, Nilson ^a  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

[No Author keywords available]

Indexed keywords

MARKET CONDITIONS; STOCK MARKET; STRUCTURAL CHANGE;

BRAZIL;

EID: 0036257068     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110073480     Document Type: Article

References (18)

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5. Permanent and temporary component of stock prices
6. Longa Persistência nas Taxas de Inflação
7. The estimation and application of long memory time series models
8. An introduction to long-memory time series models and fractional differencing
9. Fractional differencing
10. Estimation of the memory parameter for non-stationary or non-invertible fractionally integrated processes
11. Rules rather than discretion: The inconsistency of optimal plans
12. Essai de mesure du degré de mémoire longue des séries lémple de la modélisation ARFIMA
13. Stock market prices do not follow random walks: Evidence from a simple specification test
14. Mean reversion in stock prices: Evidence and implications
15. Maximum likelihood estimation of stationary univariate fractionally integrated time series models