Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

Quarterly Review of Economics and Finance

Volumn 52, Issue 2, 2012, Pages 207-218

  Arouri, Mohamed El Hedi ^a,b   Hammoudeh, Shawkat ^c   Lahiani, Amine ^d,e   Nguyen, Duc Khuong ^f  

^a UNIVERSITÉ CLERMONT AUVERGNE   (France)

^b EDHEC BUSINESS SCHOOL   (France)

^c DREXEL UNIVERSITY   (United States)

^d UNIVERSITÉ D'ORLÉANS   (France)

^e RENNES SCHOOL OF BUSINESS   (France)

^f UPS3611   (France)

Author keywords

ARFIMA FIGARCH; Long memory; Precious metal prices; Structural breaks

Indexed keywords

EID: 84861851544     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2012.04.004     Document Type: Article

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