A TEST OF THE GARCH(1, 1) SPECIFICATION FOR DAILY STOCK RETURNS.
- Published in:
- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 137, doi. 10.1017/S1365100510000015
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- Publication type:
- Article
Works matching IS 13651005 AND DT 2010 AND VI 14 AND IP S1
Results: 7
1
2
THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE.
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- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 111, doi. 10.1017/S1365100509991143
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- Publication type:
- Article
3
INTRODUCTION TO THE SPECIAL ISSUE ON NONLINEAR TIME SERIES.
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- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 1, doi. 10.1017/S1365100509991131
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- Publication type:
- Article
4
APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL.
- Published in:
- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 59, doi. 10.1017/S1365100509991052
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- Publication type:
- Article
5
IDENTIFYING NONLINEAR SERIAL DEPENDENCE IN VOLATILE, HIGH-FREQUENCY TIME SERIES AND ITS IMPLICATIONS FOR VOLATILITY MODELING.
- Published in:
- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 88, doi. 10.1017/S1365100509090543
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- Publication type:
- Article
6
WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS.
- Published in:
- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 3, doi. 10.1017/S1365100509090397
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- Publication type:
- Article
7
INTRADAY PATTERNS IN EXCHANGE RATE OF RETURN OF THE CHILEAN PESO: NEW EVIDENCE FOR DAY-OF-THE-WEEK EFFECT.
- Published in:
- Macroeconomic Dynamics, 2010, v. 14, n. S1, p. 42, doi. 10.1017/S1365100509090385
- By:
- Publication type:
- Article