Predicting BRICS stock returns using ARFIMA models

Applied Financial Economics

Volumn 24, Issue 17, 2014, Pages 1159-1166

  Aye, Goodness C ^a   Balcilar, Mehmet ^a   Gupta, Rangan ^a   Kilimani, Nicholas ^a   Nakumuryango, Amandine ^a   Redford, Siobhan ^a  

^a UNIVERSITY OF PRETORIA   (South Africa)

Author keywords

ARFIMA; BRICS; fractional integration; long memory; long horizon prediction; stock returns

Indexed keywords

MEMORY; NUMERICAL MODEL; PREDICTION; STOCK MARKET;

BRAZIL; CHINA; INDIA; RUSSIAN FEDERATION; SOUTH AFRICA;

EID: 84903436787     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2014.924297     Document Type: Article

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