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Keywords: Long‐range dependence
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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
... in support of the presence of long range dependence in the various proxies of volatility of the PIIGS economies. The results from the wavelet approach also support the Taylor effect in the volatility proxies. The results show that ARFIMA (p,d′,q)‐FIGARCH (1,d,0) model specification is better able to capture...
