Long-range dependence in returns and volatility of Central European Stock Indices
作者： Ladislav Kristoufek
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摘要: In the paper, we research on presence of long-range dependence in returns and volatility BUX, PX WIG between years 1997 2009 with use classical modified rescaled range. Moving block bootstrap pre-whitening postblackening is used for construction confidence intervals hypothesis testing. We show that there no significant all examined indices. However, detected three The results are contradictory several studies which claim developing markets persistent. majority these either do not at or only ones based standard normal distribution. Therefore, such should be reexamined reinterpreted.
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