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

Publikationstyp: Zeitschriftenartikel
Autor/innen: Beran, Jan; Ocker, Dirk
Erscheinungsjahr: 2001
Erschienen in: Journal of Business & Economic Statistics ; 19 (2001), 1. - S. 103-116. - ISSN 0735-0015. - eISSN 1537-2707
DOI (zitierfähiger Link): https://dx.doi.org/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.
Fachgebiet (DDC): 310 Statistik
Link zur Lizenz: Deposit-Lizenz

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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

@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 Ocker, Dirk Beran, Jan deposit-license Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models 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 eng 2001 Beran, Jan Journal of Business & Economic Statistics ; 19 (2001), 1. - S. 103-116

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