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Is market fear persistent? : a long-memory analysis

Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun
Year of publication:
2018
Authors: Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Plastun, Alex
Published in:
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 27.2018, p. 140-147
Subject: VIX | Fractional integration | Long memory | Market fear | Persistence | R/S analysis | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätzung | Estimation | ARMA-Modell | ARMA model | Großbritannien | United Kingdom | Theorie | Theory
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