Long memory volatility in Chinese stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 7, 2010, Pages 1425-1433

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

^a Gyeongsang National University   (South Korea)

^b Pusan National University   (South Korea)

Author keywords

Efficient market hypothesis; Semi parametric test; Volatility persistence

Indexed keywords

COMMERCE;

CHINESE MARKETS; CHINESE STOCK MARKET; EFFICIENT MARKET HYPOTHESIS; LONG-MEMORY PROPERTY; NON-NORMALITY; SEMIPARAMETRIC; VOLATILITY PERSISTENCE; VOLATILITY PROCESS;

FINANCIAL MARKETS;

EID: 73449119633     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.12.004     Document Type: Article

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