کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085265 | 1477949 | 2008 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Common stochastic volatility trends in international stock returns
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The aim of this work is to capture common stochastic trends in weekly volatilities of the Dow Jones, Nikkei, Hang Seng and Strait Times index using a multivariate stochastic volatility (SV) model. The results suggest a very high correlation among the volatility innovations, so that it is examined whether the four series share any common stochastic trends. A Principal Component Analysis and a Factor Analysis in the state space setting reveal that two common stochastic trends can be found to underlie the volatility series. The resulting linear combinations of the volatility series no more exhibit any stochastic trend but are stationary in the state space framework. Thus, it can be concluded that volatilities of the four stock indexes are in essence co-persistent.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 3, June 2008, Pages 431-445
Journal: International Review of Financial Analysis - Volume 17, Issue 3, June 2008, Pages 431-445
نویسندگان
Chi-Mai Dao, Jürgen Wolters,