Beran, Jan; Ocker, Dirk - In: Journal of Business & Economic Statistics 19 (2001) 1, pp. 103-16
By applying SEMIFAR models, we examine "long memory" in the volatility of worldwide stock-market indexes. Our analysis yields strong evidence of "long memory" in stock-market volatility, either in terms of stochastic long-range dependence or in the form of deterministic trends. In some cases,...