Detail publikace

Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: IES Working Papers
Rok: 2010
Číslo: 3
Publikováno v: IES Working Papers 3/2010 PDF
Místo vydání: Prague
Klíčová slova: long-range dependence, rescaled range, modified rescaled range, bootstrapping
JEL kódy: C4, C5, G15
Citace: Kristoufek, L. (2010). “ Long-range dependence in returns and volatility of Central European Stock Indices ” IES Working Paper 3/2010. IES FSV. Charles University.
Granty: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and post-blackening is used for the construction of confidence intervals for the hypothesis testing. We show that there is no significant long-range dependence in returns of all examined indices. However, significant long-range dependence is detected in volatility of all three indices. The results for returns are contradictory with several studies which claim that developing markets are persistent. However, majority of these studies either do not use the confidence intervals at all or only the ones based on standard normal distribution. Therefore, the results of such studies should be reexamined and reinterpreted.
Ke stažení: WP 2010_03_Kristoufek


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