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On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach


  • Chaker Aloui
  • Duc Khuong Nguyen


We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis to investigate the dynamic behavior of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to

Suggested Citation

  • Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-184

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    1. repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2215-3 is not listed on IDEAS
    2. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    3. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.

    More about this item


    persistence; Mediterranean markets; wavelet analysis; Hurst exponent; return behavior;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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