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Type: Relatório
Title: How long memory in volatility affects true dependence structure
Author(s)/Inventor(s): Mendes, Beatriz Vaz de Melo
Koley, Nikolai
Abstract: Indisponível.
Abstract: Long 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.
Keywords: Finanças
Modelos matemáticos
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 373
Issue Date: 2005
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISSN: 1518-3335
Citation: MENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).
Appears in Collections:Relatórios

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