Forecasting The Market Capital Of Dhaka Stock Exchange In Bangladesh: A Comparative Study Of Garch And Arima Models
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References listed on IDEAS
- De Santis, Giorgio & imrohoroglu, Selahattin, 1997.
"Stock returns and volatility in emerging financial markets,"
Journal of International Money and Finance,
Elsevier, vol. 16(4), pages 561-579, August.
- Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
- Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
- Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
More about this item
KeywordsMarket Capital; Stationarity; White Noise Series; ARIMA model; and GARCH model;
- M0 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General
StatisticsAccess and download statistics
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