Long-term stochastic dependence in financial prices: evidence from the German stock market
Long-term stochastic dependence in financial prices: evidence from the German stock market
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金融价格的长期随机依赖性：来自德国股市的证据
DOI：
10.1080/135048596355691
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发表时间：
1996
影响因子：
1.6
通讯作者：
T. Lux
中科院分区：
文献类型：
--
作者：
T. Lux
许多作者认为，金融价格可能表现出隐藏的长期依赖关系。分析德国股市数据，我们认为这一论断。运用三种不同的概念来识别长记忆效应，几乎没有发现股市回报存在这种行为的证据。最近的另一项断言称，长期记忆可能与股票回报无关，而是与金融市场价格的有条件波动有关。事实证明，我们对德国股市数据的调查非常支持这一说法。此外，长期记忆特性在回报的绝对值上比在回报的平方(两者都用作波动性的替代指标)中更明显。所采用的方法是：估计累积偏离时间序列平均值范围的标度行为的赫斯特指数的由来已久的程序，修正的极差分析。
A number of authors have argued that financial prices may exhibit hidden long-term dependence. We consider this claim analysing German stock market data. Applying three different concepts for the identification of long memory effects, virtually no evidence of such behaviour is found for stock market returns. Another recent assertion says that long term memory may not be pertinent to stock returns but rather to the conditional volatility of financial market prices. As it turns out, this claim is very much supported by our investigation of German stock market data. Furthermore, the long memory property is more pronounced in absolute values of returns than in the squares of returns (both used as proxies for volatility). The methods employed are: the time-honoured procedure of estimating the Hurst exponent for the scaling behaviour of the range of cumulative departures from the mean of a time series, the modified range analysis.