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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

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-184.

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Length: 25 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-184
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  23. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
  24. DiSario, Robert & Saraoglu, Hakan & McCarthy, Joseph & Li, Hsi, 2008. "Long memory in the volatility of an emerging equity market: The case of Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 305-312, October.
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