Testing for long memory in ISE using Arfima-figarch model and structural break test

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dc.contributor.authorKorkmaz, Turhan
dc.contributor.authorÇevik, Emrah Ismail
dc.contributor.authorÖzataç, Nesrin
dc.date.accessioned2026-02-06T18:01:15Z
dc.date.issued2009
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractThis study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility. Consequently, ISE is found as a weak form inefficient market due to volatility as it has a predictable component. © EuroJournals Publishing, Inc. 2009.
dc.identifier.endpage191
dc.identifier.issn1450-2887
dc.identifier.issue26
dc.identifier.scopus2-s2.0-67549113939
dc.identifier.scopusqualityN/A
dc.identifier.startpage186
dc.identifier.urihttps://hdl.handle.net/11129/8357
dc.identifier.volume1
dc.indekslendigikaynakScopus
dc.language.isoen
dc.relation.ispartofInternational Research Journal of Finance and Economics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_Scopus_20260204
dc.titleTesting for long memory in ISE using Arfima-figarch model and structural break test
dc.typeArticle

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