How long memory in volatility affects true dependence structure

Detalhes bibliográficos
Autor(a) principal: Mendes, Beatriz Vaz de Melo
Data de Publicação: 2005
Outros Autores: Koley, Nikolai
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9825
Resumo: Indisponível.
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spelling Mendes, Beatriz Vaz de MeloKoley, Nikolai2019-09-25T16:10:36Z2023-11-30T03:03:39Z2005MENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).1518-3335http://hdl.handle.net/11422/9825Indisponível.Long memory in volatility is a stylized fact found in most financial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We fit copulas to pairs of raw and filtered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discuss whether or not asymmetries on propagation of crisis may be interpreted as intrinsic characteristics of the markets. We also use the findings to construct portfolios possessing desirable expected behavior such as dependence at extreme positive levels.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-09-25T16:10:36Z No. of bitstreams: 1 RC_373-Comp..pdf: 366327 bytes, checksum: 93f736c264d5749dccdc6f5e309691ae (MD5)Made available in DSpace on 2019-09-25T16:10:36Z (GMT). No. of bitstreams: 1 RC_373-Comp..pdf: 366327 bytes, checksum: 93f736c264d5749dccdc6f5e309691ae (MD5) Previous issue date: 2005engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasModelos matemáticosWorking paperHow long memory in volatility affects true dependence structureinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report373abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJORIGINALRC_373-Comp..pdfRC_373-Comp..pdfapplication/pdf366327http://pantheon.ufrj.br:80/bitstream/11422/9825/1/RC_373-Comp..pdf93f736c264d5749dccdc6f5e309691aeMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9825/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD5211422/98252023-11-30 00:03:39.608oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:03:39Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv How long memory in volatility affects true dependence structure
title How long memory in volatility affects true dependence structure
spellingShingle How long memory in volatility affects true dependence structure
Mendes, Beatriz Vaz de Melo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Modelos matemáticos
Working paper
title_short How long memory in volatility affects true dependence structure
title_full How long memory in volatility affects true dependence structure
title_fullStr How long memory in volatility affects true dependence structure
title_full_unstemmed How long memory in volatility affects true dependence structure
title_sort How long memory in volatility affects true dependence structure
author Mendes, Beatriz Vaz de Melo
author_facet Mendes, Beatriz Vaz de Melo
Koley, Nikolai
author_role author
author2 Koley, Nikolai
author2_role author
dc.contributor.author.fl_str_mv Mendes, Beatriz Vaz de Melo
Koley, Nikolai
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Modelos matemáticos
Working paper
dc.subject.por.fl_str_mv Finanças
Modelos matemáticos
Working paper
description Indisponível.
publishDate 2005
dc.date.issued.fl_str_mv 2005
dc.date.accessioned.fl_str_mv 2019-09-25T16:10:36Z
dc.date.available.fl_str_mv 2023-11-30T03:03:39Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv MENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9825
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv MENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).
1518-3335
url http://hdl.handle.net/11422/9825
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
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reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
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