Showing 1 - 2 of 2
This study investigates the long range dependence and correlation structures of some select stock markets. Using novel wavelet methods of long range dependence, we show presence of long memory in the stock returns of some emerging economies and the lack of it in developed markets of Europe and...
Persistent link: https://www.econbiz.de/10015212892
This paper seeks to understand the long memory behaviour of global equity returns using novel methods from wavelet analysis. We implement the wavelet based multivariate long memory approach, which possibly is the first application of wavelet based multivariate long memory technique in finance...
Persistent link: https://www.econbiz.de/10015267120