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Keywords: Hurst exponent
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Journal Articles
Asymmetric long memory volatility in the PIIGS economies
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2013) 12 (1): 23–43.
Published: 15 February 2013
... time series. Long‐range dependence Hurst exponent Wavelet analysis FIGARCH FIEGARCH Stock markets Portugal Ireland Italy Greece Spain In economics and finance, the study of asymmetric long range dependence in the volatility of asset returns is an important area to explore...
