Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices

Quarterly Review of Economics and Finance

Volumn 49, Issue 2, 2009, Pages 578-595

  McMillan, David G ^a   Ruiz, Isabel ^b  

^a UNIVERSITY OF ST ANDREWS   (United Kingdom)

^b SAM HOUSTON STATE UNIVERSITY   (United States)

Author keywords

Long memory; Structural breaks; Time varying unconditional variance; Volatility

Indexed keywords

EID: 64649100256     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2007.09.006     Document Type: Article

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