This study examines emerging market (EM) local bonds from a portfolio risk perspective and suggests methodologies for risk evaluation, on which the literature is limited. Despite the growth of EM bond funds in recent years, comprehensive studies regarding this industry have been scarce. In light of this, 203 different local bonds of EM countries—Indonesia, Brazil, India, South Africa, Mexico, and Turkey—are elaborated in terms of return, volatility, and cross-correlation features. This study focuses on an untouched field—long memory properties—and the application of fractional models to EM bond portfolios. Based on the outcomes of a dynamic conditional correlation and fractionally integrated generalized autoregressive conditional heteroscedasticity approach and related value at risk analysis, the study finds that fractional models are useful tools for risk management, as they deliver satisfactory empirical results for several static and dynamic versions of EM bond portfolios.

中文翻译：

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对新兴市场债券投资组合应用多元分数积分波动率分析

本研究从投资组合风险的角度研究了新兴市场 (EM) 本地债券，并提出了风险评估的方法，但文献有限。尽管近年来新兴市场债券基金有所增长，但对该行业的综合研究却很少。有鉴于此，从回报、波动性和互相关特征方面阐述了新兴市场国家（印度尼西亚、巴西、印度、南非、墨西哥和土耳其）的 203 种不同地方债券。本研究侧重于一个未触及的领域——长期记忆特性——以及分数模型在新兴市场债券投资组合中的应用。基于动态条件相关和分数积分广义自回归条件异方差方法的结果和相关的风险值分析，