Publication detail

Kristoufek, L.: Long-term memory and its evolution in returns of stock index PX between 1997 and 2009

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2010
Number: 4
ISSN / ISBN: 0032-3233
Published in: Politická ekonomie 58(4), pp. 471-487 PDF
Publishing place: Prague
Keywords: econophysics, long-range dependence, time series analysis, rescaled range, periodogram
JEL codes: G1, G10, G14, G15
Suggested Citation:
Grants: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: 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.




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