This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to … any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility … of the series under investigation before and after the Brexit referendum, and find an increase in the degree of …

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to … any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British … Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose …

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to … any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British … Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose …