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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...
Data: 2014
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Origem: Repositório Científico do Instituto Politécnico do Porto
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