MABROUK, ANOUAR BEN; KORTAS, HEDI; AMMOU, SAMIR BEN - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 297-317
In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are … with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility …