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**Chapter 5** 

© 2012 Thupayagale, licensee InTech. This is an open access chapter distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/3.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

© 2012 Thupayagale, licensee InTech. This is a paper distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/3.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

While recent empirical literature has focused on the characterisation of the volatility profile of a variety of asset classes; in particular, the long memory properties of these assets, surprisingly little attention has been devoted to the analysis of fixed income markets,

**Long Memory in the Volatility of Local Currency** 

Investors can potentially improve the risk-adjusted performance of their portfolios by investing internationally and thereby take advantage of the associated return and diversification benefits. The potential gains provided by emerging markets have attracted significant investor attention which, in turn, has led to substantial capital inflows to these economies. Local currency-denominated sovereign bonds have been the fastest growing market in emerging market space in the past few years. More recently, the global quest for yield in a context of accommodative monetary policies in the advanced economies has created a positive external environment for emerging market bonds. In addition, the secondary market for emerging market local currency debt has also been supported by high interest and amortisation payments. Emerging market bonds are also benefiting from a track record of strong risk-adjusted returns and low correlations with other asset classes. Such characteristics are attractive from a portfolio optimisation perspective. These attributes have also seen considerable attention devoted to analysis of the various risk-return attributes of these markets. In particular, recent empirical literature has focused on the characterisation of the volatility profile of emerging market bond returns. Indeed, the accurate estimation of volatility plays a central role in many applications in finance, including optimal portfolio selection (e.g., diversification strategies), valuation of derivatives (e.g., option pricing) and risk management (e.g., value-at-risk calculation). These applications have motivated an

**Bond Markets: Evidence from Hong Kong,** 

**Mexico and South Africa** 

Additional information is available at the end of the chapter

extensive empirical literature on volatility modelling.

Pako Thupayagale

**1. Introduction** 

http://dx.doi.org/10.5772/50888

