We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

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 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 … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

both subsamples, before and after the detected break. On the whole, it seems that shocks do not have permanent effects on …

applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000 – 15 …

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this … is confirmed by both endogenous break tests and the associated subsample estimates. Market participants should take this …

Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is … estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between …

permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in …