Nguyen, Duc Binh Benno Prokopczuk, Marcel Sibbertsen, Philipp
Year of Publication:
Hannover Economic Papers (HEP) 614
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.