On the impact of long memory on market risk : pre- and post-crisis evidences ; long memory and stock market risk
Year of publication: |
[2018]
|
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Authors: | Ben Sassi, Salim ; Bejaoui, Azza |
Published in: |
Fractal approaches for modeling financial assets and predicting crises. - Hershey, PA, USA : Business Science Reference, ISBN 978-1-5225-3767-0. - 2018, p. 42-62
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Subject: | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Risiko | Risk | Finanzkrise | Financial crisis |
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