Relatório
How long memory in volatility affects true dependence structure
Registro en:
MENDES, Beatriz Vaz de Melo. How long memory in volatility affects true dependence structure. Rio de Janeiro: UFRJ, 2005. 17 p. (Relatórios COPPEAD, 373).
1518-3335
Autor
Mendes, Beatriz Vaz de Melo
Koley, Nikolai
Institución
Resumen
Long memory in volatility is a stylized fact found in most financial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We fit copulas to pairs of raw and filtered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discuss whether or not asymmetries on propagation of crisis may be interpreted as intrinsic characteristics of the markets. We also use the findings to construct portfolios possessing desirable expected behavior such as dependence at extreme positive levels. Indisponível.