Long-term dependence in financial prices: evidence from the Belgian stock market returns
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call in... Mehr ...
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Dokumenttyp: | Artikel |
Erscheinungsdatum: | 2014 |
Verlag/Hrsg.: |
Queen University
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Schlagwörter: | Rescaled-range analysis / Econophysics / Long-term dependence / Hurst exponent / Detrended fluctuation analysis |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-28500497 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10400.22/4504 |