Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008
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References listed on IDEAS
- Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 445-470.
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Keywordsunit root; nonstationarity; spectral analysis; long memory; random walk; fractional integration; stock exchange index; volatility; risk;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-02 (All new papers)
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