The long memory behaviour of stock market volatility: evidence from the PIIGS countries

In this study we examine the long memory behaviour of stock market volatility of the PIIGS major indices: PSI 20, FTSE MIB, ISEQ, FTSE/ATHEX and IBEX 35. In order to conduct our analyses we apply two FIGARCH-type models, one derived by Baillie, Bollerslev and Mikkelsen (1996) and another one develop...

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Bibliographic Details
Main Author: Santos, Vasco Miguel de Assis dos (author)
Format: masterThesis
Language:eng
Published: 2017
Subjects:
Long memory
Volatility
FIGARCH
Local Whittle Estimator
Finanças
Mercado de ações
Índice bolsista
Comportamento
Memória
Portugal
Irlanda
Itália
Grécia
Espanha
Longa memória
Volatilidade
Online Access:http://hdl.handle.net/10071/12521
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/12521

Internet

http://hdl.handle.net/10071/12521

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