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Long Memory and Structural Breaks: An Application to the Tehran Stock Exchange Index (TEPIX) Returns

Ahmad Gholi Barkish

Volume 20, Issue 63 , July 2015, , Pages 145-185

https://doi.org/10.22054/ijer.2015.4097

Abstract
  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. ...  Read More