Long memory properties in return and volatility: Evidence from the Korean stock market

Physica A: Statistical Mechanics and its Applications

Volumn 385, Issue 2, 2007, Pages 591-600

  Kang, Sang Hoon ^a   Yoon, Seong Min ^b  

^a UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^b Pukyong National University   (South Korea)

Author keywords

ARFIMA FIGARCH; Dual long memory; Korean stock market; Skewed Student t distribution

Indexed keywords

COST ACCOUNTING; DISTRIBUTION FUNCTIONS; MARKETING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STUDENTS;

ASYMMETRIC LEPTOKURTOSIS; DUAL LONG MEMORY; EMPIRICAL RESULTS;

INDUSTRIAL ECONOMICS;

EID: 34548705926     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.07.051     Document Type: Article

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