股市是否存在长期记忆,或者取决于模型、时期或频率?

IF 0.4 Q4 EDUCATION & EDUCATIONAL RESEARCH Ensayos-Revista de la Facultad de Educacion de Albacete Pub Date : 2017-04-28 DOI:10.29105/ENSAYOS36.1-1
Héctor F. Salazar-Núñez, F. Venegas-Martínez, Cuahutémoc Calderón-Villareal
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引用次数: 3

摘要

本文分析了世界主要股票市场是否存在长记忆,如果是这样,是由于使用的计量模型类型,研究周期还是数据的频率(日内,每日,每周等)?为此,我们对ARFIMA和GARCH模型的实证结果进行了比较分析。无论采用何种方法、周期和频率,表现出长期记忆一致结果的股市是中国和韩国。前者表现出长期记忆,而后者表现出短期记忆。
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¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia?
This paper analyses the existence of long memory in the major stock markets in the world, and if this is the case, whether it’s due to the type of econometric models used, the period of study or the frequency of data (intraday, daily, weekly, etc.)? To do this, we perform a comparative analysis between the empirical results of ARFIMA and GARCH models. The stock markets that showed consistent results of long memory, regardless of the method, the period and the frequency were China and South Korea. The first one exhibits long memory, and the other a short one.
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发文量
8
审稿时长
12 weeks
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