Detecting market crashes by analysing long-memory effects using high-frequency data

Author: Barany E.   Varela M. P. Beccar   Florescu I.   Sengupta I.  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.12, Iss.4, 2012-04, pp. : 623-634

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Abstract