Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets

Emerging Markets Review

Volumn 10, Issue 2, 2009, Pages 122-139

  Kasman, Adnan ^a   Kasman, Saadet ^a   Torun, Erdost ^a  

^a DOKUZ EYLUL UNIVERSITY   (Turkey)

Author keywords

ARFIMA; CEEC's stock markets; FIGARCH; Long memory

Indexed keywords

EID: 67349281917     PISSN: 15660141     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ememar.2009.02.002     Document Type: Article

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