On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
Long memory has always played a central role in physics since it was first discovered by Hurst while studying the flow of the River Nile. Interestingly, after his seminal work, many other researchers found the same pattern in other domains of science, such as biology, economics and finance. These st...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Texto completo: | http://hdl.handle.net/10071/12345 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/12345 |