Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
Files
Date
1999
Authors
Ocker, Dirk
Editors
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 1999/14
URI (citable link)
International patent number
Link to the license
EU project number
Project
Open Access publication
Collections
Title in another language
Publication type
Working Paper/Technical Report
Publication status
Published in
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.
Summary in another language
Subject (DDC)
510 Mathematics
Keywords
SEMIFAR model,ARCH models,trend,long-range dependence,short-range dependence
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690
BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR ModelsBibTex
@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} }
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>
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
No