Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009
Bibliographic Data
| ID | 7973405 |
|---|---|
| Authors | Ladislav Krištoufek (0000-0003-4843-9373, Charles University, corresponding author) |
| Year | 2010 |
| Volume | 58 |
| Issue | 4 |
| Pages | 471-487 |
| Publication date | 2010-08-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Politická ekonomie (JOURNAL) |
| Journal identifiers | ISSN: 0032-3233 • E-ISSN: 2336-8225 |
| Publisher | Prague University of Economics and Business (PUBLISHER • CZ) |
| DOI | 10.18267/j.polek.742 |
| OpenAlex | W2324540474 |
| Language | EN |
| Citations received | 1 |
| References cited | 31 |
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior
Detrended fluctuation analysis · Econometrics · Economics · Exponent · Geography · Hurst exponent · Limit (mathematics) · Long memory · Mathematical analysis · Periodogram · Physics · Rescaled range · Scaling · Statistical physics · Statistics · Stock (firearms) · Term (time) · Volatility (finance) · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Mathematics · Stock Market Forecasting Methods
The Estimation and Application of Long Memory Time Series Models
Bootstrap Methods
Long-Term Storage Capacity of Reservoirs
Testing the null hypothesis of stationarity against the alternative of a unit root
Weak-form efficiency test in the central european capital markets
Testing the weak form of efficient market hypothesis for the czech stock market
| Citations per year | 0.07 |
|---|---|
| Citation span | 2012 - 2012 (1) |
| Highly cited | No |