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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.identifier.citationTABAK, 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.pt_BR
dc.description.abstractThis 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.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:44Z (GMT). No. of bitstreams: 5 Testing for Time-Varying Long Range Dependence in Volatility for Emerging Markets.pdf: 355876 bytes, checksum: e651bfa69c104d0047e3f71874504b76 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2005en
dc.rightsAcesso Abertopt_BR
dc.subjectEmerging marketspt_BR
dc.subjectHurst exponentpt_BR
dc.subjectLong-range dependencept_BR
dc.titleTesting for time-varying long-range dependence in volatility for emerging marketspt_BR
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