Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7513
Type: Artigo
Título : Testing for time-varying long-range dependence in volatility for emerging markets
Autor : Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Resumen : 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.
Palabras clave : Emerging markets
Hurst exponent
Long-range dependence
Volatility
Citación : 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.
Access Type: Acesso Aberto
URI : http://twingo.ucb.br:8080/jspui/handle/10869/356
https://repositorio.ucb.br:9443/jspui/handle/123456789/7513
Fecha de publicación : 2005
Appears in Collections:PPG - Revistas e Artigos Científicos

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