Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach
Objective: This study is the first to examine the issue of time-varying long-term memory in the Tehran Stock Exchange, using a new efficiency index through a rolling window technique. To test the robustness of the results, this estimation technique is repeated with time windows with 5-day shifts. Fu...
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| Format: | Article |
| Language: | fas |
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University of Isfahan
2020-12-01
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| Series: | Journal of Asset Management and Financing |
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| Online Access: | https://amf.ui.ac.ir/article_24673_39d9f933f8ba75f2680e419b65bb46cc.pdf |