Long memory in log-range series : do structural breaks matter?
Year of publication: |
September 2015
|
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Authors: | Chatzikonstanti, Vasiliki ; Venetis, Ioannis A. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 33.2015, p. 104-113
|
Subject: | Structural breaks | Long memory | Log-range volatility proxy | Stock market | Strukturbruch | Structural break | Volatilität | Volatility | Aktienmarkt | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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