Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series

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...

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Bibliographic Details
Main Authors: Gholamreza Keshavarz Haddad, Seyed Babak Ebrahimi, Akbar Jafar Abadi
Format: Article
Language:fas
Published: Allameh Tabataba'i University Press 2011-06-01
Series:فصلنامه پژوهش‌های اقتصادی ایران
Subjects:
return
volatility
long memory
multivariate figarch
Online Access:https://ijer.atu.ac.ir/article_3201_5385c0561ac82aa4f9186f2923892b78.pdf

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