A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis

Physica A: Statistical Mechanics and its Applications

Volumn 410, Issue , 2014, Pages 345-358

  Tan, Pei P ^a   Chin, Cheong W ^b   Galagedera, Don U A ^c  

^a UNIVERSITY OF MALAYA   (Malaysia)

^b MULTIMEDIA UNIVERSITY   (Malaysia)

^c MONASH UNIVERSITY   (Australia)

Author keywords

Long range dependence; Stock return predictability; Wavelet fractional integration

Indexed keywords

FINANCIAL MARKETS; INVESTMENTS;

ASIAN FINANCIAL CRISIS; EMERGING MARKETS; EQUITY MARKETS; FLUCTUATION ANALYSIS; LONG RANGE DEPENDENCE; STOCK RETURN PREDICTABILITY; WAVELET FRACTIONAL INTEGRATIONS; WAVELET-BASED METHODS;

COMMERCE;

EID: 84901922285     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.05.044     Document Type: Article

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