Use este identificador para citar ou linkar para este item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7513
Tipo: Artigo
Título: Testing for time-varying long-range dependence in volatility for emerging markets
Autor(es): Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: 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.
Palavras-chave: Emerging markets
Hurst exponent
Long-range dependence
Volatility
Citação: 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.
Tipo de Acesso: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/356
https://repositorio.ucb.br:9443/jspui/handle/123456789/7513
Data do documento: 2005
Aparece nas coleções:PPG - Revistas e Artigos Científicos

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