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The Long Memory of Equity Volatility: International Evidence

Duc Binh Benno Nguyen, Marcel Prokopczuk () and Philipp Sibbertsen ()

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a country measured by jumps. The relationships hold both in the time-series and the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and frontier countries.

Keywords: International; Long Memory; Volatility (search for similar items in EconPapers)
JEL-codes: G15 C22 F30 F40 (search for similar items in EconPapers)
Date: 2017-11
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