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Long-term dependence in financial prices: evidence from the Belgian stock marke...
Gomes, Luís PereiraThis 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,...
Persistence characteristics in financial prices: evidence from the portuguese s...
Gomes, Luís PereiraThe objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fr...
Long-term memory in financial prices: evidence from the Dutch stock market returns
Gomes, Luís Pereira; Soares, Vasco J. S.; Gama, Sílvio M. A.; Matos, José A. O.Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20 ; The purpose of this paper is to contribute to the discussion of long-term memory, focusing on the behavior of the main Dutch stock index.The analysis of the general characteristics of temporal frequency reveals that daily returns are non-ergodic, non-stationary and non-independent. Conse...
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