Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover

2024 / 2023 / 2022 / 2021 / 2020 / 2019 / ältere Diskussionspapiere anzeigen

Diskussionspapiere - Hannover Economic Papers (HEP)

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

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.


Diskussionspapier als PDF-Datei herunterladen
BibTeX-Datensatz herunterladen

| ©2004 - 2024 Wirtschaftswissenschaftliche Fakultät, letzte Änderung am 2014-09-02 11:55:06