Long-range Dependence in Daily Stock Volatilities

Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory stochastic volatility models. Are such long-range dependencies common among stocks? Are they caused by the...

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Veröffentlicht in:	Journal of business & economic statistics 2000-04, Vol.18 (2), p.254-262
Hauptverfasser:	Ray, Bonnie K., Tsay, Ruey S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Business structures Canonical correlation Cointegration Common components Correlation Economic models Economic theory Effects Enterprises Estimation methods Industrial sectors Long-range dependence Mathematics Oil companies P values Rates of return Size effects Size of enterprise Spectral methods Statistical analysis Statistical variance Statistics Stochastic models Stochastic processes Stock exchange Stock prices Stock returns Studies Time series Volatilities Volatility
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