Stock Returns in Emerging Markets and the Use of GARCH Models
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Abstract
We use the Hinich portmanteau bicorrelation test to detect for the adequacy of using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) as the data-generating process to model condition...
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Applied Economics Letters, 2011, vol 18, n° 13-15, p. 1321-1325
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