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DC Field | Value | Language |
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dc.contributor.author | Bobeica, Gabriel | - |
dc.contributor.author | Bojesteanu, Elena | - |
dc.date.accessioned | 2018-07-17T11:00:50Z | - |
dc.date.available | 2018-07-17T11:00:50Z | - |
dc.date.issued | 2008 | - |
dc.identifier.citation | Bobeica, G., & Bojesteanu, E. (2008). Long memory in volatility. An investigation on the Central and Eastern European exchange rates. European Research Studies Journal, 11(4), 7-18. | en_GB |
dc.identifier.issn | 11082976 | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/31868 | - |
dc.description.abstract | Understanding the evolution of volatility on the financial markets is essential for the comprehension and for the analysis of risk. This paper regards the topic of persistence of volatility in the exchange rates for four Central and Eastern European countries: Czech Republic, Hungary, Poland, and Romania. Persistence in volatility shows how quickly financial markets forget large volatility shocks. The persistence of volatility is addressed as the presence of long-term memory in the second order moment of returns and in absolute returns. The main feature of a long-memory process is that its autocorrelation function decays slower than that of a short memory process, but faster than that of an integrated one. The paper also concerns the implications on risk assessment of detecting long-term memory in the volatility of the exchange rate. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | University of Piraeus. International Strategic Management Association | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Foreign exchange rates -- Europe, Central | en_GB |
dc.subject | Foreign exchange rates -- Europe, Eastern | en_GB |
dc.subject | Foreign exchange rates -- Risk assessment | en_GB |
dc.subject | GARCH model | en_GB |
dc.title | Long memory in volatility. An investigation on the Central and Eastern European exchange rates | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | European Research Studies Journal | en_GB |
Appears in Collections: | European Research Studies Journal, Volume 11, Issue 4 |
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Long_memory_in_volatility_ An_investigation_on_the_Central_and_Eastern_European_exchange_rates_2008.pdf | 175.83 kB | Adobe PDF | View/Open |
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