Asymmetric long memory volatility in the PIIGS economies
Year of publication: |
2013
|
---|---|
Authors: | Kumar, Dilip ; Maheswaran, S. |
Published in: |
Review of accounting & finance. - Bingley : Emerald Group Publishing Limited, ISSN 1475-7702, ZDB-ID 2084662-9. - Vol. 12.2013, 1, p. 23-43
|
Subject: | Long-range dependence | Hurst exponent | Wavelet analysis | FIGARCH | FIEGARCH | Stock markets | Portugal | Ireland | Italy | Greece | Spain | Spanien | Volatilität | Volatility | Griechenland | Irland | Aktienmarkt | Stock market | Italien | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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