Long-memory in volatilities of CDS spreads: Evidences from the emerging markets
Description
In this study, we analyze the long-memory dependency in volatility of CDS spreads of four emerging markets (Turkey, Russia, South Africa, and Brazil) from 2001 to 2014. Preliminary evidence from Detrended Fluctuations Analysis (DFA) suggests the existence of long memory in all markets. We then use the fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model to estimate the magnitudes of the long-memory parameter. Following the information of modified...[Show more]
Collections | ANU Research Publications |
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Date published: | 2016 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/261970 |
Source: | Romanian Journal of Economic Forecasting |
Access Rights: | Open Access via publisher website |
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01_Gunay_Long-memory_in_volatilities_of_2016.pdf | 539.02 kB | Adobe PDF | Request a copy |
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