Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
| dc.contributor.author | Beran, Jan | |
| dc.contributor.author | Ocker, Dirk | deu |
| dc.date.accessioned | 2011-03-22T17:45:27Z | deu |
| dc.date.available | 2011-03-22T17:45:27Z | deu |
| dc.date.issued | 1999 | deu |
| dc.description.abstract | By applying SEMIFAR models (Beran 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analyis 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 an more systematic 'long-memory', than suggested by a stationary model with long-range dependence. | eng |
| dc.description.version | published | |
| dc.format.mimetype | application/pdf | deu |
| dc.identifier.ppn | 085009873 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/673 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2000 | deu |
| dc.relation.ispartofseries | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie | |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject | SEMIFAR model | deu |
| dc.subject | ARCH models | deu |
| dc.subject | trend | deu |
| dc.subject | long-range dependence | deu |
| dc.subject | short-range dependence | deu |
| dc.subject.ddc | 510 | deu |
| dc.title | Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models | eng |
| dc.type | WORKINGPAPER | deu |
| dspace.entity.type | Publication | |
| kops.bibliographicInfo.seriesNumber | 1999/14 | deu |
| kops.citation.bibtex | @techreport{Beran1999Volat-673,
year={1999},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models},
number={1999/14},
author={Beran, Jan and Ocker, Dirk}
} | |
| kops.citation.iso690 | BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models | deu |
| kops.citation.iso690 | BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models | eng |
| kops.citation.rdf | <rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/673">
<dc:creator>Beran, Jan</dc:creator>
<dc:format>application/pdf</dc:format>
<dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/673/1/415_1.pdf"/>
<dc:language>eng</dc:language>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:27Z</dcterms:available>
<dc:contributor>Beran, Jan</dc:contributor>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:27Z</dc:date>
<dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/673/1/415_1.pdf"/>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<dc:creator>Ocker, Dirk</dc:creator>
<dcterms:title>Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models</dcterms:title>
<dcterms:abstract xml:lang="eng">By applying SEMIFAR models (Beran 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analyis 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 an more systematic 'long-memory', than suggested by a stationary model with long-range dependence.</dcterms:abstract>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/673"/>
<dc:contributor>Ocker, Dirk</dc:contributor>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dc:rights>terms-of-use</dc:rights>
<dcterms:issued>1999</dcterms:issued>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
</rdf:Description>
</rdf:RDF> | |
| kops.description.openAccess | openaccessgreen | |
| kops.flag.knbibliography | false | |
| kops.identifier.nbn | urn:nbn:de:bsz:352-opus-4156 | deu |
| kops.opus.id | 415 | deu |
| kops.relation.seriesofconstance | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie | |
| relation.isAuthorOfPublication | f12cc3c7-b6c5-44ca-be88-15c4dae5b621 | |
| relation.isAuthorOfPublication.latestForDiscovery | f12cc3c7-b6c5-44ca-be88-15c4dae5b621 | |
| relation.isSeriesOfPublication | 60f65820-b954-492f-b665-1b1a746b9411 | |
| relation.isSeriesOfPublication.latestForDiscovery | 60f65820-b954-492f-b665-1b1a746b9411 |
Dateien
Originalbündel
1 - 1 von 1
Vorschaubild nicht verfügbar
- Name:
- 415_1.pdf
- Größe:
- 191.81 KB
- Format:
- Adobe Portable Document Format
