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acessibilidade

http://hdl.handle.net/10071/13868
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acessibilidade
DC FieldValueLanguage
dc.contributor.authorDionísio, A.-
dc.contributor.authorMenezes, R.-
dc.contributor.authorMendes, D. A.-
dc.date.accessioned2017-07-05T15:48:21Z-
dc.date.available2017-07-05T15:48:21Z-
dc.date.issued2007-
dc.identifier.issn0378-4371por
dc.identifier.urihttps://ciencia.iscte-iul.pt/id/ci-pub-14587-
dc.identifier.urihttp://hdl.handle.net/10071/13868-
dc.description.abstractThis paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.por
dc.language.isoengpor
dc.publisherElsevierpor
dc.rightsopenAccesspor
dc.subjectCointegrationpor
dc.subjectExogeneitypor
dc.subjectFIGARCH modelspor
dc.subjectFractional integrationpor
dc.subjectNon-stationaritypor
dc.titleOn the integrated behaviour of non-stationary volatility in stock marketspor
dc.typearticleen_US
dc.pagination58-65por
dc.publicationstatusPublicadopor
dc.peerreviewedyespor
dc.relation.publisherversionThe definitive version is available at: http://dx.doi.org/10.1016/j.physa.2007.02.008por
dc.journalPhysica Apor
dc.distributionInternacionalpor
dc.volume382por
dc.number1por
degois.publication.firstPage58por
degois.publication.lastPage65por
degois.publication.issue1por
degois.publication.titlePhysica Apor
dc.date.updated2017-07-05T15:46:56Z-
dc.identifier.doi10.1016/j.physa.2007.02.008-
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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