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Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...
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This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important in discovering and interpreting the relationships between economic variables, are used to analyze the relationships between different...
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