Une mesure de la persistance dans les indices boursiers
AbstractWe 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 InfoPaper provided by Banque de France in its series Working papers with number 94.
Length: 37 pages
Date of creation: 2002
Date of revision:
Long memory; Persistence phenomenon; Stock markets.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Dominique Guegan, 2005.
"How can we Define the Concept of Long Memory? An Econometric Survey,"
Taylor & Francis Journals, vol. 24(2), pages 113-149.
- Guégan D., 2004. "How Can We Define The Concept of Long Memory? An Econometric Survey," School of Economics and Finance Discussion Papers and Working Papers Series 178, School of Economics and Finance, Queensland University of Technology.
- Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
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