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313844

Seasonal Long-Term Dependence: Evidences from the Bangladeshi Financial Series

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Last updated: 05 Jan 2025

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Abstract

It is well-known that many time series exhibit strong-dependence long memory property. In this paper, the seasonal structure of the Bangladeshi quarterly financial series is examined by means of recently proposed fractional integration test. Evidences suggest that most of the series are seasonal long-term dependent. Thus, the standard approach of taking seasonal differences to get the series stationary at different frequencies (which is required) may lead to spurious results, because outcomes suggest that the series having a component of long memory behavior. Findings of this study are useful to the following groups: (i) Policy makers who are interested to make wise financial policies, (ii) different practitioners whose success depends on the ability to predict financial series and (iii) applied researchers who want to improve the model specifications of the selected series.  

DOI

10.21608/esju.2007.313844

Keywords

Long-Memory - Quarterly Unit Roots, Seasonality - Financial Series

Volume

51

Article Issue

2

Related Issue

42973

Issue Date

2007-12-01

Publish Date

2007-12-01

Page Start

135

Page End

146

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_313844.html

Detail API

https://esju.journals.ekb.eg/service?article_code=313844

Order

8

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

Seasonal Long-Term Dependence: Evidences from the Bangladeshi Financial Series

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Article

Created At

28 Dec 2024