Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied Financial Economics 24 (2014) 14, pp. 993-1004
Appropriate modelling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...