Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172868
Authors: 
Nguyen, Duc Binh Benno
Prokopczuk, Marcel
Sibbertsen, Philipp
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 614
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.
Subjects: 
International
Long Memory
Volatility
JEL: 
G15
C22
F30
F40
Document Type: 
Working Paper

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