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The Long Memory of Equity Volatility: International Evidence

Autor: Duc Binh Benno Nguyen and Marcel Prokopczuk and Philipp Sibbertsen
Nummer: 614, Nov 2017, pp. 44
JEL-Class: G15, C22, F30, F40

Abstract:
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a country measured by jumps. The relationships hold both in the time-series and the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and frontier countries.

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