Keywords: Volatility index
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Journal Articles
Journal Articles
International Journal of Emerging Markets (2023) 18 (11): 5155–5171.
Published: 28 February 2022
...Edson Zambon Monte Purpose The main goal of this paper is to investigate whether there is long-memory behavior in the CBOE Brazil ETF volatility index (named here VIXBR). As structural breaks may create a spurious long-range dependence, the presence of structural breaks is also gauged. Design...

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