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

Applied Financial Economics

Volumn 14, Issue 6, 2004, Pages 457-460

  Vougas, Dimitrios V ^a  

^a SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; MARKET CONDITIONS; MEMORY; STOCK MARKET;

EURASIA; EUROPE; GREECE; SOUTHERN EUROPE;

EID: 1842853917     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100410001673694     Document Type: Article

References (8)

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2. Baillie, R. T., Chung, C.-F. and Tieslau, M. A. (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH Model, Journal of Applied Econometrics, 11, 23-40.
3. Barkoulas, J. T., Baum, C. F. and Travlos, N. (2000) Long memory in the Greek stock market, Applied Financial Economics, 10, 177-84.
4. Cheung, Y. W. (1993) Tests for fractional integration: a Monte Carlo investigation, Journal of Time Series Analysis, 14, 331-45.
5. Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-38.
6. Koutmos, G., Negakis, C. and Theodossiou, P. (1993) Stochastic behaviour of the Athens stock exchange, Applied Financial Economics, 3, 119-26.
7. Roncalli, T. (1996) TSM, Advanced Time Series Modelling (GAUSS Application), Global Design, RITME, Paris.
8. Vougas, D. V. (2000) Modeling volatility in the Athens stock exchange using (G)ARCH-type models, Manuscript, University of Wales Swansea.