Chikhi, Mohamed; Peguin-Feissolle, Anne; Terraza, Michel - HAL - 2012
This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of …, stochastic trend, short-range and long-range dependence and long memory heteroscedastic errors. We study the daily returns of the …, including long memory coefficients for the equations of the mean and the conditional variance, are highly significant. The …