New approach for estimation of long memory parameters in financial time series

Subject Areas : Financial Knowledge of Securities Analysis

سید محمد سیدحسینی ¹ , مسعود باباخانی ² , سید محمد هاشمی نژاد ³ , سید بابک ابراهیمی ⁴

1 - ندارد
2 - ندارد
3 - ندارد
4 - مسئول مکاتبات

Received: 2012-09-02 Accepted : 2013-03-10 Published : 2013-09-11

Keywords: long memory, Time series, Bootstrap,

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 timeseries has a lot of application in finance and lots of ways have been created to examine itbut they have lots of mistakes. Bootstrap Approach has been used in this paper for give usa good proxy of sampling distribution in order to estimate of memory parameters. Thisapproach has less limitation than others and can deal with most of difficult problem. Inthis research we use the data of price index of Tehran Stock Exchange for duration ofDecember of 2006 till June of 2010 for estimating parameter of long memory, finally theresults show the estimation of parameter of long memory has improved.

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