Long Memory Features in Return and Volatility of the Malaysian Stock Market
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References listed on IDEAS
- Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
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- Muhammad Naeem & Hao Ji & Brunero Liseo, 2014. "Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(2), pages 1-20.
- repec:spt:apfiba:v:7:y:2017:i:4:f:7_4_2 is not listed on IDEAS
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Keywordslong memory property; leverage effect; ARFIMA-G(ARCH) models;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G0 - Financial Economics - - General
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