Long Memory in Stock Returns and Volatility in India : A Nonparametric Analysis (Record no. 30016)

MARC details
000 -LEADER
fixed length control field 01390pab a2200205 454500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140923b0 xxu||||| |||| 00| 0 eng d
040 ## - CATALOGING SOURCE
Transcribing agency Welingkar Institute of Management Development & Research, Mumbai
Original cataloging agency Welingkar Institute of Management Development & Research, Mumbai
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title ENG
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number
Item number Bad
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Badhani K N
245 ## - TITLE STATEMENT
Title Long Memory in Stock Returns and Volatility in India : A Nonparametric Analysis
250 ## - EDITION STATEMENT
Edition statement 12
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc.
Name of publisher, distributor, etc. Dec 2008
Date of publication, distribution, etc. 0
300 ## - PHYSICAL DESCRIPTION
Extent 34-53 Pp.
490 ## - SERIES STATEMENT
Volume/sequential designation 14
520 ## - SUMMARY, ETC.
Summary, etc. This paper tests the long memory in daily aggregate returns on S&P CNX Nifty index and its volatility using Rescaled Range (R/S)-type nonparametric tests. The results do not show long memory in returns, but their squared and absolute values (which represent the volatility) show robust presence of long-range dependence in the data for the entire sample period. However, in a subsample covering the period from March 2001 to December 2007, the volatility measures do not show long memory. Since the tests of long memory cannot differentiate between fractional integration and structural breaks, absence of long memory in a subsample appears more consistent with the hypothesis of structural breaks in volatility dynamics.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Long Memory, Stock Returns
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://192.168.6.13/libsuite/mm_files/Articles/AR10166.pdf">http://192.168.6.13/libsuite/mm_files/Articles/AR10166.pdf</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
a 29482
Holdings
Withdrawn status Lost status Damaged status Not for loan Home library Current library Date acquired Cost, normal purchase price Total Checkouts Full call number Barcode Date last seen Cost, replacement price Price effective from Koha item type
        Main Library Main Library 03/01/2009 0.00   Bad AR10166 23/09/2014 0.00 23/09/2014 Articles

Powered by Koha