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

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 …

cryptocurrencies and stock markets, which depends on the extent and persistence of responses to own and cross shocks. To improve the …

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …