Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that … returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their … volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence …