Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 15, 2008, Pages 3826-3830

  Bentes, Sónia R ^a   Menezes, Rui ^b   Mendes, Diana A ^b  

^a ISCAL   (Portugal)

^b INSTITUTO UNIVERSITÁRIO DE LISBOA ISCTE IUL   (Portugal)

Author keywords

ARCH type models; Entropy; Long memory; Nonlinear dynamics; Volatility clustering

Indexed keywords

ELECTRONIC COMMERCE; ENTROPY; MARKETING; MATHEMATICAL MODELS; TIME SERIES ANALYSIS;

ARCH TYPE MODELS; HETEROSCEDASTIC MODELS; LONG MEMORY; VOLATILITY CLUSTERING;

CLUSTERING ALGORITHMS;

EID: 42649121342     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.01.046     Document Type: Article

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