evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The … methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results … persistence and the results of its inference were compared with independently optimized portfolios. A better risk …

evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The … methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results … persistence and the results of its inference were compared with independently optimized portfolios. A better risk …

several alternatives to estimate the expected volatility by means of historical data so as to resemble two polar cases: short … Latin America can be partially explained by the MVP ratio only if long-memory of past volatility events is assumed …

determine whether the effects of transitory economic shocks had significant persistence in time. The objective of this paper is …