Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange
This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX series. Results of the GPH, GSP and ARFIMA model...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2015-01-01
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| Series: | Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī |
| Subjects: | |
| Online Access: | http://jims.atu.ac.ir/article_590_8785f29725fd8d19fd3fe345b4aede07.pdf |