Long-run comovements in East Asian stock market volatility

DOI10.1007/s11079-016-9401-4zbMath1412.91245OpenAlexW2462016581MaRDI QIDQ2416241

Benjamin Keddad, Gilles de Truchis

Publication date: 23 May 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-016-9401-4

zbMATH Keywords

volatilityfractional cointegrationcomovementfinancial integrationco-persistenceEast Asian stock markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

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Cites Work

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• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
• Common Persistence in Conditional Variances
• Estimating Long Memory in Volatility
• Modeling and Forecasting Realized Volatility

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