Structural breaks in volatility: the case of UK sector returns
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DOI: 10.1080/09603107.2011.564131
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- Malinda & Maya & Jo-Hui & Chen, 2022. "Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-6.
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Keywords
volatility; GARCH model; structural breaks; persistence; market model;All these keywords.
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