Testing for long memory in ISE using Arfima-Figarch model and structural break test
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- Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
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"Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği
[Long memory and structural breaks on volatility: evidence from Borsa Istanbul]," MPRA Paper 71485, University Library of Munich, Germany, revised 2014.
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"İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme
[The testing of efficient market hypothesis in the Istanbul Stock Excha," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
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More about this item
KeywordsLong memory; structural breaks in variance; Figarch model;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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