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

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 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 …

/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

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

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …

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 longmemory methods (R/S analysis and …) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive …