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Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

✍ Scribed by Bent Jesper Christensen; Morten Ørregaard Nielsen; Jie Zhu

Book ID: 116641724
Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 204 KB
Volume: 17
Category: Article
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2009.09.008

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