Vessereau, Thierry - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper studies the nonlinear dependences in daily returns of 40 French stocks and two indices, the Vontobel-Datastream index and the official French index CAC40. These returns are studied during a period of twenty-four years beginning January 1, 1975. The rescaled range analysis of Hurst and...