Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85165
Authors: 
Beran, Jan
Ocker, Dirk
Year of Publication: 
1999
Series/Report no.: 
CoFE Discussion Paper 99/14
Abstract: 
By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger and more systematic 'long memory', than suggested by a stationary model with long-range dependence.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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