Long memory and volatility clustering: is the empirical evidence consistent across stock markets?
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to cap...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Texto completo: | https://ciencia.iscte-iul.pt/id/ci-pub-14585 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/13988 |