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Les tests de mémoire longue appartiennent-ils au "camp du démon" ?

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  • Sandrine Lardic
  • Valérie Mignon
  • Claude Jessua

Abstract

[eng] The purpose of this paper is to test the dependence structure of financial series of stock returns and foreign exchange rates. To do this, R/S analysis and various ARFIMA methods have been implemented in order to detect the presence of long-term memory. The main result concerns Canadian markets for which we find persistence and anti-persistence phenomena in the foreign exchange market (dollar-Canadian dollar) and in the stock market (TSE 300) respectively. [fre] L'objet de cet article est de tester le type de la structure de dépendance des séries financières d'indices boursiers et de taux de change. A cette fin ont été mises en œuvre les procédures de détection de la mémoire longue que sont les analyses R/S et les diverses techniques ARFIMA. Le résultat particulièrement intéressant concerne les marchés canadiens pour lesquels nous décelons des phénomènes de persistance sur le marché des changes ($/$ canadien) et d'anti-persistance sur le marché boursier (TSE 300).

Suggested Citation

  • Sandrine Lardic & Valérie Mignon & Claude Jessua, 1996. "Les tests de mémoire longue appartiennent-ils au "camp du démon" ?," Revue Économique, Programme National Persée, vol. 47(3), pages 531-540.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1996_num_47_3_409789
    DOI: 10.3406/reco.1996.409789
    Note: DOI:10.3406/reco.1996.409789
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    References listed on IDEAS

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    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    3. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    4. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Benoit B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290, National Bureau of Economic Research, Inc.
    7. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    8. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Economie & Prévision, La Documentation Française, vol. 155(4), pages 117-137.
    2. Aouad Hadjer, Soumia & Taouli, Mustapha Kamel & Benbouziane, Mohamed, 2012. "Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA [Modeling of the Algerian Dinar Exchange Rate: An empirical investigation using t," MPRA Paper 38605, University Library of Munich, Germany.

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