Publikation:

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

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

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

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