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Keywords: Long memory
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Journal Articles
Long memory or structural break? Empirical evidences from index volatility in stock market
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2019) 9 (3): 324–337.
Published: 07 December 2018
...Yi Luo; Yirong Huang Purpose The purpose of this paper is to explore whether stock index volatility series exhibit real long memory. Design/methodology/approach The authors employ sequential procedure to test structural break in volatility series, and use DFA and 2ELW to estimate long memory...
