مرکز منطقه ای اطلاع رساني علوم و فناوري - Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

Title of article :

Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

Author/Authors :

Clive W. J. Granger، نويسنده , , Namwon Hyung، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2004

Pages :

From page :

399

To page :

421

Keywords :

Occasional structural breaks , Long memory , Absolute stock return , Autocorrelation

Journal title :

Journal of Empirical Finance

Serial Year :

2004

Journal title :

Journal of Empirical Finance

Record number :

130772

Link To Document :