Mutual information and persistence in the stochastic volatility of market returns : an emergent market example
Bogdan Dima, Ştefana Maria Dima
| Year of publication: |
September 2017
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| Authors: | Dima, Bogdan ; Dima, Ştefana Maria |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 51.2017, p. 36-59
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| Subject: | Long-run memory | Stochastic volatility | Mutual information | Financial markets efficiency | Volatilität | Volatility | Theorie | Theory | Effizienzmarkthypothese | Efficient market hypothesis | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2017.05.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011754136