Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 7, pp. 1425-1433
In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our...
