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Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
Using the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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