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Time-varying long-range dependence in stock market returns and financial market disruptions -- a case of eight European countries

  • Silvo Dajcman

The long-range dependence (or long memory) in stock market returns has many implications for modern financial economics. The existent empirical studies on long-range dependence in stock market returns, however, do not examine it on a dynamical basis. In this article we applied a rolling window approach to prove that long-range dependence parameter for eight European stock market returns is time-varying. Our findings show that sharp, but temporary, increases of long-range dependence parameter for investigated stock market returns in the period October 1999 to April 2011 coincided with the major financial market disruptions in the world and Europe.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.608637
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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 10 (July)
Pages: 953-957

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:953-957
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