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Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009

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  • Ladislav Krištoufek

Abstract

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal Politická ekonomie.

Volume (Year): 2010 (2010)
Issue (Month): 4 ()
Pages: 471-487

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Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:742:p:471-487

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Related research

Keywords: time series analysis; rescaled range; periodogram; long-range dependence; econophysics;

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