Measuring persistence in stock market volatility using the FIGARCH approach
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DOI: 10.1016/j.physa.2014.04.032
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- Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
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Keywords
Long memory; Volatility; Persistence; GARCH; IGARCH; FIGARCH;All these keywords.
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