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Long Memory Characteristics in the Korean Stock Market Volatility
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 Title & Authors
Long Memory Characteristics in the Korean Stock Market Volatility
Cho, Sinsup; Choe, Hyuk; Park, Joon Y;
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 Abstract
For the estimation and test of long memory feature in volatilities of stock indices and individual companies semiparametric approach, Geweke and Porter-Hudak (1983), is employed. Empirical study supports the strong evidence of volatility persistence in Korean stock market. Most of indices and individual companies have the feature of long term dependence of volatility. Hence the short memory models are unable to explain the volatilities in Korean stock market.
 Keywords
volatility;long memory process;
 Language
Korean
 Cited by
 References
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