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Une mesure de la persistance dans les indices boursiers

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Author Info

  • Avouyi-Dovi, S.
  • Guégan, D.
  • Ladoucette, S.

Abstract

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the one hand, and the impact of the aggregation on the other hand, on the long me-mory process. Our main results show the strongest evidence of long memory presence in the absolute value of the returns.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 94.

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Length: 37 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:bfr:banfra:94

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: Long memory; Persistence phenomenon; Stock markets.;

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Cited by:
  1. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.

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