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Are the markets influenced by the frequency and the long relationships?
dc.contributor.author | Márquez, M. Dolores |
dc.contributor.author | Muñoz Gracia, María del Pilar |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa |
dc.date.accessioned | 2010-10-01T09:08:04Z |
dc.date.available | 2010-10-01T09:08:04Z |
dc.date.created | 2008 |
dc.date.issued | 2008 |
dc.identifier.citation | Márquez, M.D.; Muñoz, M. Are the markets influenced by the frequency and the long relationships?. A: International Conference on Computational Statistics. "18th International Conference on Computational Statistics". Porto: 2008. |
dc.identifier.isbn | 978-84-690-72 |
dc.identifier.uri | http://hdl.handle.net/2117/9230 |
dc.description.abstract | This paper analyzes the multivariate volatility effects among the indexes returns time series of the main stock markets. We detect, applying cointegration techniques, relations of interdependence between these markets and the existence of structural changes. Next, we study the behaviour of volatility with the O-GARCH model and how the frequency affects the dynamics of volatility. The results show that the estimated breakpoints are related to the dates of high volatility; therefore the volatility of financial markets affects long term financial relationships. Finally, we conclude that the low frequency data are useful for the study of cointegration relation-ships, though the estimation of volatility requires high frequency data. |
dc.format.extent | 1 p. |
dc.language.iso | eng |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Economia i organització d'empreses::Macroeconomia::Finances |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica::Modelització estadística |
dc.subject.lcsh | Cointegration |
dc.subject.lcsh | GARCH model |
dc.subject.lcsh | Time-series analysis |
dc.subject.lcsh | Markets |
dc.title | Are the markets influenced by the frequency and the long relationships? |
dc.type | Conference report |
dc.subject.lemac | Sèries temporals -- Anàlisi |
dc.subject.lemac | Mercats financers |
dc.subject.lemac | Models economètrics |
dc.contributor.group | Universitat Politècnica de Catalunya. LIAM - Laboratori de Modelització i Anàlisi de la Informació |
dc.rights.access | Restricted access - publisher's policy |
local.identifier.drac | 2515822 |
dc.description.version | Postprint (published version) |
local.citation.author | Márquez, M.D.; Muñoz, M. |
local.citation.contributor | International Conference on Computational Statistics |
local.citation.pubplace | Porto |
local.citation.publicationName | 18th International Conference on Computational Statistics |