Do benchmark African equity indices exhibit the stylized facts?
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- Peter Loos & Peter Fettke & Barbara Weißenberger & Stephan Zelewski & Armin Heinzl & Ulrich Frank & Juhani Iivari, 2011. "What in Fact Is the Role of Stylized Facts in Fundamental Research of Business and Information Systems Engineering?," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 3(2), pages 107-125, April.
More about this item
KeywordsAfrica All-Share Index Stylized facts GARCH Fat-tails Long memory;
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