Testing for long memory in daily fisheries and aquaculture prices: New evidence

Christos Floros, Lamprakis Avdelas, Leonidas Papacharisis

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this paper we test for the presence of fractional integration in the Greek fisheries and aquaculture prices. Using Autoregressive Fractionally Integrated Moving Average (ARFIMA) models, we investigate the long memory property in the daily prices of the main species landed into Piraeus. The results show strong evidence of long memory for six species, namely Anchovy, Hake, Picarel, Seabass, Sardine, and Seabream. Only Bogue shows a weak evidence of long memory. It is concluded that most series are long-term dependent, indicating market inefficiency and a high degree of predictability.

Original languageEnglish
Pages (from-to)189-195
Number of pages7
JournalEuropean Journal of Scientific Research
Volume21
Issue number1
Publication statusPublished - 2008

Keywords

  • Aquaculture
  • ARFIMA
  • Fisheries
  • Long memory
  • Piraeus (Greece)

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