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• W2037393324 abstract "This study, using wavelet-based method investigates the dynamics of long memory in the returns and volatility of equity markets. In the sample of five developed and five emerging markets we find that the daily return series from January 1988 to June 2013 may be considered as a mix of weak long memory and mean-reverting processes. In the case of volatility in the returns, there is evidence of long memory, which is stronger in emerging markets than in developed markets. We find that although the long memory parameter may vary during crisis periods (1997 Asian financial crisis, 2001 US recession and 2008 subprime crisis) the direction of change may not be consistent across all equity markets. The degree of return predictability is likely to diminish during crisis periods. Robustness of the results is checked with de-trended fluctuation analysis approach." @default.
• W2037393324 created "2016-06-24" @default.
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• W2037393324 date "2014-09-01" @default.
• W2037393324 modified "2023-10-01" @default.
• W2037393324 title "A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis" @default.
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• W2037393324 doi "https://doi.org/10.1016/j.physa.2014.05.044" @default.
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