Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/09603107.2014.920476
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1. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
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