Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series
Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this fractionality in the integration of time serie...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2011-06-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_3201_5385c0561ac82aa4f9186f2923892b78.pdf |