Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis
作者： Salim Lahmiri
DOI: 10.1016/J.PHYSA.2015.05.067
关键词: Econometrics 、 Mode (statistics) 、 Hurst exponent 、 Economics 、 Financial market 、 Term (time) 、 Range (statistics) 、 Stock market 、 Financial crisis 、 Detrended fluctuation analysis
摘要: Abstract The purpose of this study is to investigate long-range dependence in trend and short variation stock market price return series before, during, after 2008 financial crisis. Variational mode decomposition (VMD), a newly introduced technique for signal processing, adopted decompose data into finite set modes so as obtain long term trends movements data. Then, the detrended fluctuation analysis (DFA) range scale (R/S) are used estimate Hurst exponent each variational obtained from VMD. For both series, empirical results twelve international markets show evidence that persistent, whilst variations anti-persistent
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