Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models-Reference-Cited by-同舟云学术

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Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models

Published:2018-01 Issue:1 Volume:31 Page:1198-1217
ISSN:1331-677X
Container-title:Economic Research-Ekonomska Istraživanja
language:en
Short-container-title:Economic Research-Ekonomska Istraživanja

Author:

Ahmed Rizwan Raheem¹,Vveinhardt Jolita²,Streimikiene Dalia²,Channar Zahid Ali³

Affiliation:

1. Faculty of Management Sciences, Indus University, Gulshan, Pakistan

2. Institute of Sport Science and Innovations, Lithuanian Sports University, Kaunas, Lithuania

3. Department of Business Administration, Sindh Madressa-tul-Islam University, Karachi, Pakistan

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2018.1456358

Reference48 articles.

1. EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS

2. Evaluated the Success of Fractionally Integrated-GARCH Models on Prediction Stock Market Return Volatility in Gulf Arab Stock Markets

3. International Journal of Trade, Economics and Finance

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