教師資料查詢 | 類別: 期刊論文 | 教師: 鍾惠民 HUIMIN CHUNG (瀏覽個人網頁)

標題:An Analysis of Long Memory in Volatility for Asian Stock Markets
學年89
學期1
出版(發表)日期2000/09/01
作品名稱An Analysis of Long Memory in Volatility for Asian Stock Markets
作品名稱(其他語言)
著者Chung, Huimin; Lin, William T.; Wu, Soushan
單位淡江大學財務金融學系
出版者World Scientific Center, Center for PBBEF Research
著錄名稱、卷期、頁數Review of pacific basin financial markets and policies 3(3), pp.309-330
摘要One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.
關鍵字long memory in volatility;structure shifts in variance;Asia Pacific stock markets
語言英文
ISSN0219-0915
期刊性質國內
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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