volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and … degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined …

This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment … Carat indices) or even random (Polished Prices Diamond Index). The dynamic R/S analysis also shows that persistence is time …

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and …) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …

permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in …

affected the persistence of policy spreads (i.e., the difference between overnight rates and policy rates) during different sub …

This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods …