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

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 …

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 …

degrees of persistence. It also incorporates non-linear deterministic structures in the form of Chebyshev polynomials in time …

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 …

estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence … higher degree of persistence in the case of green stock prices vis-à-vis brown ones, although the differences are not …

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock …-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following …. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an …