Long Memory and Structural Breaks: An Application to the Tehran Stock Exchange Index (TEPIX) Returns
The aim of this study is to investigate the long memory properties along with structural breaks in the returns of the TEPIX. For this purpose, the properties of the long memory in the daily returns for three periods leading to September 23, 2013 were evaluated using semi- and non-parametric methods....
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2015-07-01
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| Series: | Faṣlnāmah-i Pizhūhish/hā-yi Iqtiṣādī-i Īrān |
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| Online Access: | http://ijer.atu.ac.ir/article_4097_15d93af74e959ce4fa77d8c181f27e31.pdf |