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Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières

  • Valérie Mignon

[fre] Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières . par Valérie Mignon . L'objet de ce papier est de déterminer si les séries de rentabilités boursières sont caractérisées par une structure de dépendance de long terme. Nous commençons par rappeler les principales propriétés des processus à mémoire longue incluant le bruit gaussien fractionnaire et les processus ARFIMA. Ces processus sont caractérisés par un paramètre appelé exposant de Hurst dont nous présentons diverses méthodes d'estimation. Ces procédures sont ensuite appliquées à différentes séries de rentabilités boursières hebdomadaires. Les résultats obtenus suggèrent que les rentabilités japonaise et italienne sont caractérisées par un phénomène de persistance. La présence de mémoire longue est en outre directement liée à la question d'efficience des marchés financiers, ce qui nous permet d'émettre certains doutes sur l'efficience des marchés japonais et italien. [eng] Methods for Estimating the Hurst Exponent: Application to Stock Market Returns . by Valérie Mignon . This paper analyses whether long memory is a characteristic of stock returns. It starts by defining the main long memory processes, such as fractional Gaussian noise and ARFJJVIA processes, which are characterised by a parameter called the Hurst exponent. We then review various methods for estimating this exponent. Finally, we apply these procedures to time series of weekly stock returns. Our findings suggest that Italian and Japanese stock returns display long memory persistence. Since long memory is directly related to the issue of market efficiency, these findings raise questions about the efficiency of Italian and Japanese capital markets.

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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 132 (1998)
Issue (Month): 1 ()
Pages: 193-214

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1998_num_132_1_5909
Note: DOI:10.3406/ecop.1998.5909
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  1. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
  2. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  3. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  4. 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.
  5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
  6. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  7. Sandrine LARDIC & Valérie MIGNON, 1999. "Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 47-68.
  8. LeRoy, Stephen F, 1982. " Expectations Models of Asset Prices: A Survey of Theory," Journal of Finance, American Finance Association, vol. 37(1), pages 185-217, March.
  9. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  10. Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics 34, Federal Reserve Bank of Minneapolis.
  11. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  12. 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.
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