Long Memory in the Turkish Stock Market Return and Volatility
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- F. Dilvin TaÅŸkin & Efe Ã‡aÄŸlar Ã‡aÄŸlÄ± & Umut HalaÃ§, 2016. "The impact of oil price shocks on the volatility of the Turkish stock market," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 6(1), pages 1-23.
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More about this item
KeywordsARFIMA; FIGARCH; Long memory; Turkish stock market;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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