Using Garch-in-Mean Model to Investigate Volatility and Persistence at Different Frequencies for Bucharest Stock Exchange during 1997-2012
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- Md. Zahangir Alam & Md. Noman Siddikee & Md. Masukujjaman, 2013. "Forecasting Volatility of Stock Indices with ARCH Model," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 126-143, April.
- repec:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60 is not listed on IDEAS
- Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
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Keywordsstock returns; volatility; persistence; GARCH model; emerging markets; data mining.;
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