Long-memory in asset returns and volatility: evidence from West Africa
This paper measures the degree of long-memory or long-range dependence in asset returns and volatility of two stock indices in Ghana and Nigeria. The presence of long-memory opens up opportunities for abnormal returns to be made by analyzing price history of a particular market. The authors employ t...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2016-06-01
|
| Series: | Investment Management & Financial Innovations |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7410/imfi_en_2016_02_Gyamfi.pdf |