Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach
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DOI: 10.18488/journal.aefr.2019.97.836.850
Abstract: This research focuses on studying the return and volatility of CSR indices. Four models namely ARFIMA, ARFIMA-GARCH, ARFIMA-FIGARCH and ARFIMA-HYGARCH were applied to investigate the long-memory process in these indices. This paper provides investors with… read more here.
Keywords: fractional integration; social responsibility; integration corporate; csr indices ... See more keywords