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Keywords: Asymmetric effects
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Journal Articles
Journal of Economic and Administrative Sciences (2015) 31 (1): 20–29.
Published: 18 May 2015
...) hypothesis was rejected for all estimated GARCH-M, EGARCH, and TGARCH models, indicating that these markets are inefficient and predictable. For daily data, the empirical results showed the presence of asymmetric effects, and the conditional variance process was found to be highly persistent. Originality...
