Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

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Year of publication:	2014-06-23
Authors:	Truchis, Gilles de ; Keddad, Benjamin
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Integrated volatility \| Co-persistence \| Fractional Cointegration \| East Asian Stock Markets \| Financial Integration

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-382 19 pages
Classification:	G15 - International Financial Markets ; F36 - Financial Aspects of Economic Integration ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010860541