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- W2617763876 abstract "Abstract This paper studies the volatility in financial market returns. We obtain strong evidences in favor of a stochastic volatility model, including an MA(1) term in errors. Also, we estimate companion models build up in the framework of FIGARCH/HYGARCH class of models. Various methods for persistence checks are used. The results suggest that mutual information might be a valid alternative for persistence checking: significant deviations of mutual information from zero can be viewed as an evidence of long-run memory. We illustrate the case of Bucharest Stock Exchange's BET index, which displays a significant persistence in returns." @default.
- W2617763876 created "2017-06-05" @default.
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- W2617763876 date "2017-09-01" @default.
- W2617763876 modified "2023-09-23" @default.
- W2617763876 title "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example" @default.
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- W2617763876 doi "https://doi.org/10.1016/j.iref.2017.05.008" @default.
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