Asymmetric long memory feature in the volatility of Asian stock markets

Asia-Pacific Journal of Financial Studies

Volumn 35, Issue 5, 2006, Pages 175-198

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

^a UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^b Pukyong National University   (South Korea)

Author keywords

ARFIMA; Asian stock markets; Asymmetric volatility; FIEGARCH; Long memory

Indexed keywords

EID: 77956216261     PISSN: 20419945     EISSN: 20416156     Source Type: Journal    
DOI: None     Document Type: Article

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