Access the full text.
Sign up today, get DeepDyve free for 14 days.
E. Marelli (2004)
Evolution of employment structures and regional specialisation in the EUEconomic Systems, 28
L. Gil‐Alana, J. Cuñado, Fernando Gracia (2008)
Stochastic volatility in the Spanish stock market: a long memory model with a structural breakThe European Journal of Finance, 14
Ignacio Lobato, N. Savin (1996)
Real and Spurious Long-Memory Properties of Stock-Market DataJournal of Business & Economic Statistics, 16
R. Baillie (1996)
Long memory processes and fractional integration in econometricsJournal of Econometrics, 73
P. Robinson (2003)
Time Series with Long Memory
Charles Jones, Mark Walker, John Wilson (2004)
Analyzing Stock Market Volatility Using Extreme-Day MeasuresJournal of Financial Research, 27
E Kurozumi (2005)
Detection of structural change in the long run persistence in a univariate time seriesOxf Bull Econ Stat, 67
RJ Shiller (2001)
Irrational exuberance
N Crato (1994)
Some international evidence regarding the stochastic behaviour of stock returnsAppl Financ Econ, 4
C. Granger, Zhuanxin Ding (1996)
Varieties of long memory modelsJournal of Econometrics, 73
L. Gil‐Alana (2007)
Fractional integration and structural breaks at unknown periods of timeJournal of Time Series Analysis, 29
Renata Cioczek-Georges, B. Mandelbrot (1995)
A CLASS OF MICROPULSES AND ANTIPERSISTENT FRACTIONAL BROWNIAN MOTIONStochastic Processes and their Applications, 60
C. Granger (1980)
Long memory relationships and the aggregation of dynamic modelsJournal of Econometrics, 14
Z Ding, CWJ Granger, RF Engle (1993)
A long memory property of stock markets and a new modelJ Empir Finance, 1
L. Gil‐Alana (1998)
Fractional Integration in the Purchasing Power Parity
John Barkoulas, Christopher Baum (1996)
Long Term Dependence in Stock ReturnsEconomics Letters, 53
F. Diebold, A. Inoue (2000)
Long Memory and Regime SwitchingEconometrics eJournal
M. Taqqu, W. Willinger, R. Sherman (1997)
Proof of a fundamental result in self-similar traffic modelingComput. Commun. Rev., 27
N. Crato (1994)
Some international evidence regarding the stochastic memory of stock returnsApplied Financial Economics, 4
P. Robinson (1978)
Statistical inference for a random coefficient autoregressive model
CWJ Granger, Z Ding (1995)
Some properties of absolute returns. An alternative measure of riskAnn Econ Stat, 40
Eiji Kurozumi (2005)
Detection of Structural Change in the Long-Run Persistence in a Univariate Time SeriesEconometrics eJournal
J Cavalcante, A Assaf (2004)
Long range dependence in the returns and volatility of the Brazilian stock marketEur Rev Econ Finance, 3
L. González, J. Powell, Jing Shi, Anton Wilson (2005)
Two centuries of bull and bear market cyclesInternational Review of Economics & Finance, 14
John Geweke, S. Porter-Hudak (1983)
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELSJournal of Time Series Analysis, 4
Charles Bos, P. Franses, Marius Ooms (2002)
Inflation, forecast intervals and long memory regression modelsInternational Journal of Forecasting, 18
J. Maheu, Thomas McCurdy (2000)
Identifying Bull and Bear Markets in Stock ReturnsJournal of Business & Economic Statistics, 18
Zhuanxin Ding, C. Granger, R. Engle (1993)
A long memory property of stock market returns and a new model
AW Lo (1991)
Long term memory in stock pricesEconometrica, 59
L. Gil‐Alana, P. Robinson (1996)
Testing of unit root and other nonstationary hypotheses in macroeconomic time seriesJournal of Econometrics, 80
S Edwards, J Gomez Biscarri, F Perez de Gracia (2003)
Stock market cycles, financial liberalization and volatilityJ Int Money Finance, 22
P. Sibbertsen (2001)
Long memory in volatilities of German stock returnsEmpirical Economics, 29
P. Robinson (1994)
Efficient Tests of Nonstationary HypothesesJournal of the American Statistical Association, 89
A. Timmermann, Massimo Guidolin (2005)
Economic Implications of Bull and Bear Regimes in UK Stock and Bond ReturnsCapital Markets: Asset Pricing & Valuation
C. Velasco (1999)
Gaussian Semiparametric Estimation of Non‐stationary Time SeriesJournal of Time Series Analysis, 20
J. Biscarri, F. Gracia (2004)
Stock market cycles and stock market development in SpainSpanish Economic Review, 6
C. Granger, Zhuanxin Ding (1999)
Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets
M. Greene, B. Fielitz (1977)
Long-term dependence in common stock returnsJournal of Financial Economics, 4
DWK Andrews (2003)
Tests for parameter instability and structural change with unknown change point. A corrigendumEconometrica, 71
Martin Schmidt (2006)
On the evolution of competition: an application of nonlinear testsApplied Economics, 38
P García del Barrio, LA Gil-Alana (2007)
Unemployment persistente in Spain. Time series and panel data approaches using disaggregated dataAppl Econ, 38
I. García, J. Molina, V. Montuenga (2010)
Intra-family distribution of paid-work timeApplied Economics, 42
K. Nishina, Nabil Maghrebi, Mark Holmes (2006)
ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES
K. Aydogan, G. Booth (1988)
Are There Long Cycles in Common Stock ReturnsSouthern Economic Journal, 55
P. Robinson (2003)
Long memory time series
L. Gil‐Alana (2000)
Mean reversion in the real exchange ratesEconomics Letters, 69
Craig Hiemstra, Jonathan Jones (1997)
Another look at long memory in common stock returnsJournal of Empirical Finance, 4
FX Diebold, A Inoue (2001)
Long memory and regime switchingJ Econom, 105
JY Campbell, M Lettau, BG Malkiel, X Xu (2001)
Have individual stocks become more volatile? An empirical exploration of idiosyncratic riskJ Finance, 56
J. Beran (1994)
Statistics for long-memory processes
M Guidolin, A Timmermann (2005)
Economic implications of the bull and bear regimes in UK stock and bond returnsEcon J, 115
Vadim Teverovsky, M. Taqqu (1997)
Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimatorJournal of Time Series Analysis, 18
C. Granger, Namwon Hyung (2004)
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returnsJournal of Empirical Finance, 11
Jushan Bai, Pierre Perron (1995)
Estimating and testing linear models with multiple structural changesEconometrica, 66
Katsumi Shimotsu, P. Phillips (2002)
Exact Local Whittle Estimation of Fractional IntegrationEconometrics eJournal
J. Tolvi (2003)
Long memory in a small stock marketEconomics Bulletin, 7
John Barkoulas, Christopher Baum, N. Travlos (1997)
Long memory in the Greek stock marketApplied Financial Economics, 10
L. Gil‐Alana (2006)
Fractional integration in daily stock market indexesReview of Financial Economics, 15
Oâ Henry (2002)
Long memory in stock returns: some international evidenceApplied Financial Economics, 12
GW Schwert (1998)
Stock market volatility: 10 years after the crashBrook-Wharton Pap Financ Serv, I
PCB Phillips, K Shimotsu (2005)
Exact local Whittle estimation of fractional integrationAnn Stat, 33
A. Ohanissian, Jeffrey Russell, R. Tsay (2008)
True or Spurious Long Memory? A New TestJournal of Business & Economic Statistics, 26
B. Mandelbrot (1971)
When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale ModelsThe Review of Economics and Statistics, 53
J Elder, HJ Jin (2007)
Long memory in commodity futures volatility: a wavelet perspectiveJ Futures Mark, 27
Andrew Ang, G. Bekaert (2002)
International Asset Allocation With Regime ShiftsReview of Financial Studies, 15
G Bry, C Boschan (1971)
Cyclical analysis of time series: selected procedures and computer programs
J. Elder, H. Jin (2007)
Long Memory in Commodity Futures Volatility: A Wavelet PerspectiveCapital Markets: Asset Pricing & Valuation
T. Bollerslev, Jonathan Wright (1999)
High-Frequency Data, Frequency Domain Inference, and Volatility ForecastingReview of Economics and Statistics, 83
P. Robinson (1995)
Gaussian Semiparametric Estimation of Long Range DependenceAnnals of Statistics, 23
Fallaw Sowell (1992)
Maximum likelihood estimation of stationary univariate fractionally integrated time series modelsJournal of Econometrics, 53
John Campbell, M. Lettau, B. Malkiel, Yexiao Xu (2000)
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic RiskCapital Markets: Asset Pricing & Valuation eJournal
W. Andrew (1991)
LO, . Long-Term Memory in Stock Market Prices, Econometrica, , ., 59
LA Gil-Alana (2003)
Fractional integration in the volatility of asset returnsEur Rev Econ Finance, 2
J. Cotter (2005)
Uncovering long memory in high frequency UK futuresThe European Journal of Finance, 11
T Chordia, R Roll, A Subrahmanyam (2001)
Market liquidity and trading volumeJ Finance, LVI
P. Phillips, Katsumi Shimotsu (2004)
Local Whittle estimation in nonstationary and unit root casesAnnals of Statistics, 32
Shibley Sadique, P. Silvapulle (2001)
LONG-TERM MEMORY IN STOCK MARKET RETURNS: INTERNATIONAL EVIDENCEInternational Journal of Finance & Economics, 6
Tarun Chordia, A. Subrahmanyam, Richard Roll (2000)
Market Liquidity and Trading ActivityJournal of Financial Abstracts eJournal
William Parke (1999)
What is Fractional Integration?Review of Economics and Statistics, 81
(1989)
A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
J Tolvi (2003)
Long memory model in a small economyEcon Bull, 7
R. Engle, Aaron Smith (1999)
Stochastic Permanent BreaksReview of Economics and Statistics, 81
G. Bry, Charlotte Boschan (1971)
Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"
Yoshihiro Yajima (1985)
ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELSAustralian & New Zealand Journal of Statistics, 27
D. Andrews (1993)
Tests for Parameter Instability and Structural Change with Unknown Change PointEconometrica, 61
Marcus Chambers (1998)
Long Memory and Aggregation in Macroeconomic Time SeriesInternational Economic Review, 39
LA Gil-Alana (2005)
Long memory in daily absolute and squared returns in the Spanish stock marketAdv Invest Anal Portf Manag, 1
A. Lo (1989)
Long-Term Memory in Stock Market PricesCapital Markets: Asset Pricing & Valuation
S. Edwards, Javier Biscarri, Fernando Gracia (2003)
Stock Market Cycles, Financial Liberalization and VolatilityEconometrics eJournal
J. Beran, N. Terrin (1996)
Testing for a change of the long-memory parameterBiometrika, 83
In this paper we test whether the US stock market volatility presents a different behavior before and after the burst of the IT bubble. Using long range dependence techniques we examine the order of integration in the absolute and squared returns in three daily stock market indices (DJIA, S&P and NASDAQ). The results indicate that both absolute and squared returns present long memory behavior. In general, the highest orders of integration in the volatility processes correspond to the NASDAQ index. The results also show that in most cases the volatility is more persistent in the bear market than in the bull market.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Mar 21, 2009
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.