✦ LIBER ✦

The Effect of Long Memory in Volatility on Stock Market Fluctuations

✍ Scribed by Christensen, Bent Jesper; Nielsen, Morten Ørregaard

Book ID: 120217809
Publisher: MIT Press
Year: 2007
Tongue: English
Weight: 177 KB
Volume: 89
Category: Article
ISSN: 0034-6535
DOI: 10.1162/rest.89.4.684

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Long memory volatility in Chinese stock

Long memory volatility in Chinese stock markets

✍ Sang Hoon Kang; Chongcheul Cheong; Seong-Min Yoon 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 689 KB

Long memory in stock market volatility a

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

✍ Bent Jesper Christensen; Morten Ørregaard Nielsen; Jie Zhu 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 204 KB

The Persistence of Volatility and Stock

The Persistence of Volatility and Stock Market Fluctuations

✍ James M. Poterba and Lawrence H. Summers 📂 Article 📅 1986 🏛 American Economic Association 🌐 English ⚖ 334 KB

The Tunisian stock market index volatili

The Tunisian stock market index volatility: Long memory vs. switching regime

✍ Charfeddine, Lanouar; Ajmi, Ahdi Noomen 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 340 KB

Long memory properties in return and vol

Long memory properties in return and volatility: Evidence from the Korean stock market

✍ Sang Hoon Kang; Seong-Min Yoon 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 272 KB

Scaling and memory effect in volatility

Scaling and memory effect in volatility return interval of the Chinese stock market

✍ T. Qiu; L. Guo; G. Chen 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 919 KB

We investigate the probability distribution of the volatility return intervals τ for the Chinese stock market. We rescale both the probability distribution P q (τ ) and the volatility return intervals τ as P q (τ ) = 1/τ f (τ /τ ) to obtain a uniform scaling curve for different threshold value q. Th