EAN: 9783954892457

LONG MEMORY IN THE VOLATILITY OF INDIAN FINANCI...

This book examines the long memory characteristics in the volatility of the Indian stock market
the Indian exchange rates and the Indian banking sector. This book also reviews the chain of
approaches to estimate the long memory parameter. The long memory characteristics of the
financial time series are widely studied and have implications for various economics and
finance theories. The most important financial implication is related to the violation of the
weak-form of market efficiency which encourages the traders  investors and portfolio managers
to develop models for making predictions and to construct and implement speculative trading and
investment strategies. In an efficient market  the price of an asset should follow a random
walk process in which the price change is unaffected by ist lagged price changes and has no
memory.

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