This paper examines long memory in the return volatility in the cross‐section of US mutual
funds. Our results provide evidence of this phenomenon. Through univariate analysis, we …

A typical behavioral pattern of investors is to reduce stock market exposure after a crash.
This leads to a typical “buy high, sell low” strategy that is detrimental to long-run wealth …

In this paper, the authors estimate portfolio volatilities and use variance− decomposition
techniques and Cholesky factorization to construct a portfolio volatility spillover index …

The study investigates volatility persistence, long-term memory and time-varying conditional
correlations among the stock markets of the Gulf Cooperation Council (GCC) countries …

This dissertation contains three essays on distinguishing between structural breaks under
long memory, testing for fractional cointegration relationship between the financial markets …

This dissertation is organized in four chapters. Chapter 1 introduces the methodology used
and briefly describes each chapter. Chapters 2 and 3 test for the existence of fractional …

This study contributes to the on-going debate about transmission of information from one
financial market to others by providing evidence of time-zone effect on daily volatility …

This paper revisits the question whether volatilities of different markets and trading zones
have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider …