Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi N.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
-to-date statistical models allowing for long memory and regime-switching dynamics. We find that the DJIM shares all stylized facts of … majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short-memory GARCH …