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Wavelet Estimators For Long Memory In Stock Markets

Author

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  • ANOUAR BEN MABROUK

    (Computational Mathematics Laboratory, Department of Mathematics, Faculty of Sciences, 5000 Monastir, Tunisia)

  • HEDI KORTAS

    (Higher Institute of Management, Department of Quantitative, Methods, Street of Abdel-Aziz El-Bahi, 4000 Sousse, Tunisia)

  • SAMIR BEN AMMOU

    (Computational Mathematics Laboratory, Department of Mathematics, Faculty of Sciences, 5000 Monastir, Tunisia)

Abstract

In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.

Suggested Citation

  • Anouar Ben Mabrouk & Hedi Kortas & Samir Ben Ammou, 2009. "Wavelet Estimators For Long Memory In Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 297-317.
    • Handle: RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005233
    DOI: 10.1142/S0219024909005233
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    References listed on IDEAS

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    1. Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J., 2001. "An Introduction to Wavelets and Other Filtering Methods in Finance and Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122796708.
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    Cited by:

    1. Ines Kahloul & Anouar Ben Mabrouk & Slah-Eddine Hallara, 2010. "Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables," Papers 1011.5020, arXiv.org.
    2. Olfa Zaafrane & Anouar Ben Mabrouk, 2011. "A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation," Papers 1102.3702, arXiv.org.
    3. Majed S. Balalaa & Anouar Ben Mabrouk & Habiba Abdessalem, 2021. "A Wavelet-Based Method for the Impact of Social Media on the Economic Situation: The Saudi Arabia 2030-Vision Case," Mathematics, MDPI, vol. 9(10), pages 1-21, May.

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