NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES

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SEYEDHOSSEINI S.M.; BABAKHANI M.; HASHEMINEJAD S.M.; EBRAHIMI S.B.

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2013 | Volume:6 | Issue:18 Page(s): 97-114

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Title

NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES

Author(s)

SEYEDHOSSEINI S.M. | BABAKHANI M. | HASHEMINEJAD S.M. | EBRAHIMI S.B. | Issue Writer Certificate

Keywords

LONG MEMORYQ2

TIME SERIESQ2

BOOTSTRAPQ3

Abstract

When past observations have a high correlation with future and it cannot be ignored, studied TIME SERIES has LONG MEMORY. Examining of existing of LONG MEMORY in TIME SERIES has a lot of application in finance and lots of ways have been created to examine it but they have lots of mistakes. BOOTSTRAP Approach has been used in this paper for give us a good proxy of sampling distribution in order to estimate of memory parameters. This approach has less limitation than others and can deal with most of difficult problem. In this research we use the data of price index of Tehran Stock Exchange for duration of December of 2006 till June of 2010 for estimating parameter of LONG MEMORY, finally the results show the estimation of parameter of LONG MEMORY has improved.

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APA: Copy

SEYEDHOSSEINI, S.M., BABAKHANI, M., HASHEMINEJAD, S.M., & EBRAHIMI, S.B.. (2013). NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(18), 97-114. SID. https://sid.ir/paper/200126/en

Vancouver: Copy

SEYEDHOSSEINI S.M., BABAKHANI M., HASHEMINEJAD S.M., EBRAHIMI S.B.. NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2013;6(18):97-114. Available from: https://sid.ir/paper/200126/en

IEEE: Copy

S.M. SEYEDHOSSEINI, M. BABAKHANI, S.M. HASHEMINEJAD, and S.B. EBRAHIMI, “NEW APPROACH FOR ESTIMATION OF LONG MEMORY PARAMETERS IN FINANCIAL TIME SERIES,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 18, pp. 97–114, 2013, [Online]. Available: https://sid.ir/paper/200126/en

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