Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Journal of Empirical Finance

Volumn 16, Issue 5, 2009, Pages 838-851

  Karanasos, M ^a   Kartsaklas, A ^b  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Financial crisis; Foreign investors; Long memory; Range based volatility; Turnover volume

Indexed keywords

EID: 70349807842     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.06.001     Document Type: Article

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