A generalized autoregressive conditional heteroscedastic approach for the assessment of weak-form-efficiency and seasonality effect : evidence from Mauritius
Alternative title: | A GARCH approach for the assessment of weak-form-efficiency and seasonality effect |
---|---|
Year of publication: |
2016
|
Authors: | Fauzel, Sheereen |
Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 6.2016, 2, p. 745-755
|
Subject: | Weak form Efficiency | Seasonality Effect | Generalized Autoregressive Conditional Heteroscedastic Model | ARCH-Modell | ARCH model | Saisonale Schwankungen | Seasonal variations | Schätztheorie | Estimation theory | Mauritius | Zeitreihenanalyse | Time series analysis |
-
Unobserved components in ARCH models : an application to seasonal adjustment
Fiorentini, Gabriele, (1994)
-
Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan, (2005)
-
A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate, (2012)
- More ...
-
Seetanah, Boopen, (2018)
-
The impact of education on economic growth : the case of Mauritius
Odit, Mohun P., (2010)
-
A PVAR approach to the modeling of FDI and spill overs effects in Africa
Fauzel, Sheereen, (2014)
- More ...