Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9825
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dc.contributor.authorMendes, Beatriz Vaz de Melo-
dc.contributor.authorKoley, Nikolai-
dc.date.accessioned2019-09-25T16:10:36Z-
dc.date.available2019-09-27T03:00:16Z-
dc.date.issued2005-
dc.identifier.citationMENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).pt_BR
dc.identifier.issn1518-3335pt_BR
dc.identifier.urihttp://hdl.handle.net/11422/9825-
dc.description.abstractLong memory in volatility is a stylized fact found in most financial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We fit copulas to pairs of raw and filtered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discuss whether or not asymmetries on propagation of crisis may be interpreted as intrinsic characteristics of the markets. We also use the findings to construct portfolios possessing desirable expected behavior such as dependence at extreme positive levels.en
dc.languageengpt_BR
dc.publisherUniversidade Federal do Rio de Janeiropt_BR
dc.relation.ispartofRelatórios COPPEADpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectFinançaspt_BR
dc.subjectModelos matemáticospt_BR
dc.subjectWorking paperpt_BR
dc.titleHow long memory in volatility affects true dependence structureen
dc.typeRelatóriopt_BR
dc.description.resumoIndisponível.pt_BR
dc.publisher.countryBrasilpt_BR
dc.publisher.departmentInstituto COPPEAD de Administraçãopt_BR
dc.publisher.initialsUFRJpt_BR
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpt_BR
dc.citation.issue373pt_BR
dc.embargo.termsabertopt_BR
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