Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application to High-frequency Stock Data

  1. Yaya, O.O.S.
  2. Gil-Alana, L.A.
  3. Shittu, O.I.
Journal:
International Journal of Finance and Economics

ISSN: 1099-1158,  1076-9307

Year of publication: 2015

Volume: 20

Issue: 3

Pages: 276-290

Type: Article

DOI: 10.1002/IJFE.1515 GOOGLE SCHOLAR
Data source: Scopus