Volatility and autocorrelation in major European stock markets
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- Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
- Gebka, Bartosz & Henke, Harald & Bohl, Martin T., 2006. "Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior," Global Finance Journal, Elsevier, vol. 16(3), pages 233-244, March.
- A. Sensoy & Benjamin Miranda Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
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KeywordsEAR-EGARCH model; volatility; autocorrelation; European stock markets;
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