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Une mesure de la persistance dans les indices boursiers

Author

Listed:
  • Sanvi Avouyi-Dovi
  • Dominique Gu gan
  • Sophie Ladoucette

Abstract

Ce papier est consacr à l' tude du comportement de longue m moire de transformations des rendements des prix d'actifs financiers des places europ ennes et am ricaine. La persistance de ces s ries est ainsi prise en compte. De plus, l'influence du d coupage temporel et l'impact des ph nom nes d'agr gation temporelle et"macro conomique" sur le comportement de longue m moire sont galement analys s. D'une mani re g n rale, ce sont les valeurs absolues des rendements des prix d'actifs qui fournissent les r sultats les plus significatifs en termes de pr sence de longue m moire sur les march s actionsClassification-JEL: C14, C22, G15

Suggested Citation

  • Sanvi Avouyi-Dovi & Dominique Gu gan & Sophie Ladoucette, 2002. "Une mesure de la persistance dans les indices boursiers," Working papers 94, Banque de France.
    • Handle: RePEc:bfr:banfra:94
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_94_2002.pdf
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    Citations

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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.
    2. 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.

    More about this item

    Keywords

    Long memory; Persistence phenomenon; Stock markets.;
    All these keywords.

    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; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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