Testing for time-varying long-range dependence in volatility for emerging markets
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://twingo.ucb.br:8080/jspui/handle/10869/356 https://repositorio.ucb.br:9443/jspui/handle/123456789/7513 |
Resumo: | This paper tests whether volatility for equity returns for emerging markets possesses longrange dependence. Furthermore, the assertion of whether long-range dependence is timevarying is checkedthrough a rolling sample approach. The empirical results suggest that there exists long-range dependence in emerging equity returns’ volatility and also that it is timevarying. This assertion also holds true for Japan and the US, which are considered more developed markets. Moreover, these results are robust to ‘‘shuffling’’ the data to eliminate short-term autocorrelation. Therefore, they suggest that the class of GARCH processes, which are currently employedto analyze volatility of financial time series, is misspecified. |
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Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:44Z2016-10-10T03:51:44Z2005TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Time-Varying Long Range Dependence in Volatility for Emerging Markets. Physica. A , Holanda, v. 346, p. 577-588, 2005.http://twingo.ucb.br:8080/jspui/handle/10869/356https://repositorio.ucb.br:9443/jspui/handle/123456789/7513This paper tests whether volatility for equity returns for emerging markets possesses longrange dependence. Furthermore, the assertion of whether long-range dependence is timevarying is checkedthrough a rolling sample approach. The empirical results suggest that there exists long-range dependence in emerging equity returns’ volatility and also that it is timevarying. This assertion also holds true for Japan and the US, which are considered more developed markets. Moreover, these results are robust to ‘‘shuffling’’ the data to eliminate short-term autocorrelation. Therefore, they suggest that the class of GARCH processes, which are currently employedto analyze volatility of financial time series, is misspecified.Made available in DSpace on 2016-10-10T03:51:44Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Testing for time-varying long-range dependence in volatility for emerging markets |
title |
Testing for time-varying long-range dependence in volatility for emerging markets |
spellingShingle |
Testing for time-varying long-range dependence in volatility for emerging markets Cajueiro, Daniel Oliveira Emerging markets Hurst exponent Long-range dependence Volatility |
title_short |
Testing for time-varying long-range dependence in volatility for emerging markets |
title_full |
Testing for time-varying long-range dependence in volatility for emerging markets |
title_fullStr |
Testing for time-varying long-range dependence in volatility for emerging markets |
title_full_unstemmed |
Testing for time-varying long-range dependence in volatility for emerging markets |
title_sort |
Testing for time-varying long-range dependence in volatility for emerging markets |
author |
Cajueiro, Daniel Oliveira |
author_facet |
Cajueiro, Daniel Oliveira Tabak, Benjamin Miranda |
author_role |
author |
author2 |
Tabak, Benjamin Miranda |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Cajueiro, Daniel Oliveira Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
Emerging markets Hurst exponent Long-range dependence Volatility |
topic |
Emerging markets Hurst exponent Long-range dependence Volatility |
dc.description.abstract.por.fl_txt_mv |
This paper tests whether volatility for equity returns for emerging markets possesses longrange dependence. Furthermore, the assertion of whether long-range dependence is timevarying is checkedthrough a rolling sample approach. The empirical results suggest that there exists long-range dependence in emerging equity returns’ volatility and also that it is timevarying. This assertion also holds true for Japan and the US, which are considered more developed markets. Moreover, these results are robust to ‘‘shuffling’’ the data to eliminate short-term autocorrelation. Therefore, they suggest that the class of GARCH processes, which are currently employedto analyze volatility of financial time series, is misspecified. |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
This paper tests whether volatility for equity returns for emerging markets possesses longrange dependence. Furthermore, the assertion of whether long-range dependence is timevarying is checkedthrough a rolling sample approach. The empirical results suggest that there exists long-range dependence in emerging equity returns’ volatility and also that it is timevarying. This assertion also holds true for Japan and the US, which are considered more developed markets. Moreover, these results are robust to ‘‘shuffling’’ the data to eliminate short-term autocorrelation. Therefore, they suggest that the class of GARCH processes, which are currently employedto analyze volatility of financial time series, is misspecified. |
publishDate |
2005 |
dc.date.issued.fl_str_mv |
2005 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:44Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:44Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
status_str |
publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Time-Varying Long Range Dependence in Volatility for Emerging Markets. Physica. A , Holanda, v. 346, p. 577-588, 2005. |
dc.identifier.uri.fl_str_mv |
http://twingo.ucb.br:8080/jspui/handle/10869/356 https://repositorio.ucb.br:9443/jspui/handle/123456789/7513 |
identifier_str_mv |
TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Time-Varying Long Range Dependence in Volatility for Emerging Markets. Physica. A , Holanda, v. 346, p. 577-588, 2005. |
url |
http://twingo.ucb.br:8080/jspui/handle/10869/356 https://repositorio.ucb.br:9443/jspui/handle/123456789/7513 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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openAccess |
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Repositório Institucional da UCB |
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