On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationa...

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Bibliographic Details
Main Author: Dionísio, Andreia (author)
Other Authors: Menezes, Rui (author), Mendes, Diana (author)
Format: article
Language:eng
Published: 2009
Subjects:
Cointegration; Non-stationarity; Exogeneity; Fractional integration; FIGARCH models
Online Access:http://hdl.handle.net/10174/1815
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/1815

Internet

http://hdl.handle.net/10174/1815

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