Using GARCH-IN-mean model to investigate volatility and persistence at different frequencies for Bucharest Stock Exchange during 1997-2012
Year of publication: |
2012
|
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Authors: | PANAIT, Iulian ; SLAVESCU, Ecaterina Oana |
Published in: |
Theoretical and Applied Economics. - Asociaţia Generalā a Economiştilor din România - AGER. - Vol. XVIII(2012).2012, 8(573), p. 63-84
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Publisher: |
Asociaţia Generalā a Economiştilor din România - AGER |
Subject: | stock returns | volatility | persistence | GARCH model | emerging markets | data mining |
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