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Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models

Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models

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BERAN, Jan, Dirk OCKER, 2001. Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models. In: Journal of Business & Economic Statistics. 19(1), pp. 103-116. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1198/07350010152472661

@article{Beran2001Volat-27493, title={Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models}, year={2001}, doi={10.1198/07350010152472661}, number={1}, volume={19}, issn={0735-0015}, journal={Journal of Business & Economic Statistics}, pages={103--116}, author={Beran, Jan and Ocker, Dirk} }

2014-04-07T14:31:28Z 2014-04-07T14:31:28Z terms-of-use Ocker, Dirk Beran, Jan Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models eng By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger and more systematic 'long memory', than suggested by a stationary model with long-range dependence. Ocker, Dirk 2001 Beran, Jan Journal of Business & Economic Statistics ; 19 (2001), 1. - S. 103-116

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