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

Lade...
Vorschaubild
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2001
Autor:innen
Ocker, Dirk
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Journal of Business & Economic Statistics. 2001, 19(1), pp. 103-116. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1198/07350010152472661
Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
310 Statistik
Schlagwörter
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690BERAN, Jan, Dirk OCKER, 2001. Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models. In: Journal of Business & Economic Statistics. 2001, 19(1), pp. 103-116. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1198/07350010152472661
BibTex
@article{Beran2001Volat-27493,
  year={2001},
  doi={10.1198/07350010152472661},
  title={Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models},
  number={1},
  volume={19},
  issn={0735-0015},
  journal={Journal of Business & Economic Statistics},
  pages={103--116},
  author={Beran, Jan and Ocker, Dirk}
}
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/123456789/27493">
    <dc:language>eng</dc:language>
    <dc:contributor>Ocker, Dirk</dc:contributor>
    <dc:creator>Beran, Jan</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-07T14:31:28Z</dc:date>
    <dcterms:issued>2001</dcterms:issued>
    <dcterms:abstract xml:lang="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.</dcterms:abstract>
    <dcterms:bibliographicCitation>Journal of Business &amp; Economic Statistics ; 19 (2001), 1. - S. 103-116</dcterms:bibliographicCitation>
    <dc:rights>terms-of-use</dc:rights>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27493"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Ocker, Dirk</dc:creator>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:title>Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models</dcterms:title>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-07T14:31:28Z</dcterms:available>
    <dc:contributor>Beran, Jan</dc:contributor>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen