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WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
MABROUK, ANOUAR BEN; KORTAS, HEDI; AMMOU, SAMIR BEN - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 297-317
In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are … with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility …
Persistent link: https://www.econbiz.de/10005006750
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Long Memory and Long Run Variation
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
May 2008 A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a fractional pole in the spectrum at the origin. The...
Persistent link: https://www.econbiz.de/10005593519
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Waiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?
Greco, Antonella; Sorriso-Valvo, Luca; Carbone, Vincenzo; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4272-4284
long persistent time lag and slow decay in the autocorrelation functions of volatility. Besides, we find that the … scales; we also find that the PDFs of volatility, for short time horizons, fit better with a log-normal distribution than …
Persistent link: https://www.econbiz.de/10010590893
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Salient features of dependence in daily US stock market indices
Gil-Alana, Luis A.; Cunado, Juncal; Gracia, Fernando … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 15, pp. 3198-3212
. The volatility processes are examined based on the squared and the absolute values of the returns series, and the … stability of the parameters across time is also investigated in both the level and the volatility processes. A method that …
Persistent link: https://www.econbiz.de/10011062636
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US stock market volatility persistence: evidence before and after the burst of the IT bubble
Cuñado, J.; Gil-Alana, L.; Gracia, F. - In: Review of Quantitative Finance and Accounting 33 (2009) 3, pp. 233-252
Persistent link: https://www.econbiz.de/10005015340
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Non-stationarities in stock returns
Starica, Catalin; Granger, Clive - EconWPA - 2004
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...
Persistent link: https://www.econbiz.de/10005119176
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Long Memory Analysis: An Empirical Investigation
Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - Volkswirtschaftliche Fakultät, … - 2013
the purpose of the description of the observed persistence in the mean and volatility of a time series. The long memory … volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time …
Persistent link: https://www.econbiz.de/10011108581
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Long Memory Analysis: An Empirical Investigation
Nazarian, Rafik; Naderi, Esmaeil; Alikhani, Nadiya G.; … - In: International Journal of Economics and Financial Issues 4 (2014) 1, pp. 16-26
the purpose of the description of the observed persistence in the mean and volatility of a time series. The long memory … volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time …
Persistent link: https://www.econbiz.de/10010734732
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Long memory in the Croatian and Hungarian stock market returns
Festic, Mejra; Kavkler, Alenka; Dajcman, Silvo - In: Zbornik radova Ekonomskog fakulteta u … 30 (2012) 1, pp. 115-139
The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market efficiency. The starting working hypothesis that there...
Persistent link: https://www.econbiz.de/10010904526
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Long-run and Cyclical Dynamics in the US Stock Market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - Department of Economics and Finance Research and … - 2004
This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...
Persistent link: https://www.econbiz.de/10005764147