Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22
conducted using daily data from June 1, 2005 to July 1, 2019. The analysis is conducted using a set of double long-memory …-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …