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Keywords: GARCH-M
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Journal Articles
Journal of Economic and Administrative Sciences (2015) 31 (1): 20–29.
Published: 18 May 2015
... (GARCH-M), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and threshold GARCH (TGARCH) models. The data are selected from three markets: Dubai Vetch (DV), West Texas Intermediate, and Europe Brent Spot Price. Findings – The weak-form efficient market (random walk...
