Long memory in log-range series : do structural breaks matter?
Vasiliki Chatzikonstanti, Ioannis A. Venetis
| Year of publication: |
September 2015
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|---|---|
| Authors: | Chatzikonstanti, Vasiliki ; Venetis, Ioannis A. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 33.2015, p. 104-113
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| Subject: | Structural breaks | Long memory | Log-range volatility proxy | Stock market | Volatilität | Volatility | Strukturbruch | Structural break | Aktienmarkt | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556856