Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7360800 | Journal of Empirical Finance | 2015 | 10 Pages |
Abstract
This paper examines whether the observed long memory behavior of log-range series is to some extent spurious and whether it can be explained by the presence of structural breaks. Utilizing stock market data we show that the characterization of log-range series as long memory processes can be a strong assumption. Moreover, we find that all examined series experience a large number of significant breaks. Once the breaks are accounted for, the volatility persistence is eliminated. Overall, the findings suggest that volatility can be adequately represented, at least in-sample, through a multiple breaks process and a short run component.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Vasiliki Chatzikonstanti, Ioannis A. Venetis,