Diagnostic of Innovations and Volatility Persistence in Emerging Markets
نویسندگان
چکیده
منابع مشابه
Volatility, persistence, and survival in financial markets.
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empiri...
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sented at the conference on “Emerging Markets and Macroeconomic Volatility: Lessons from a Decade of Financial Debacles” held at the Federal Reserve Bank of San Francisco on June 4–5, 2004, under the joint sponsorship of the Bank’s Center for Pacific Basin Studies and the University of Maryland’s Center for International Economics.The papers are listed at the end and are available at http://www...
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This paper presents an empirical analysis of volatility and contagion across 19 emerging and developed stock markets in the 1990s. First, using an efficient estimate of unconditional stock return volatility we show that contemporaneous return and volatility correlation across stock markets have increased substantially in the 1990s. Second, using simple rolling regressions and goodness of fit me...
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The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...
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ژورنال
عنوان ژورنال: International Journal of Islamic Business and Economics (IJIBEC)
سال: 2020
ISSN: 2615-420X,2599-3216
DOI: 10.28918/ijibec.v4i2.2355