Long memory in PIIGS economies: An application of wavelet analysis

Introduction In economics and finance, whether or not asset prices display long-range dependence is still an important area of research because of its importance for capital market theories (see for instance, Mandelbrot (1971), Greene and Fielitz (1977), Cutland et al. (1995)). Analysis related to long-memory property can be realized through estimation of the fractional integration Read More …