Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009

0348351 - ÚTIA 2011 RIV CZ cze J - Journal Article
Krištoufek, Ladislav
Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009.
[Long-term memory and its evolution in returns of stock index PX between 1997 and 2009.]
Politická ekonomie. Roč. 58, č. 4 (2010), s. 471-478. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR GD402/09/H045
Grant - others:GAUK(CZ) GAUK 118310; MŠMT(CZ) MŠMT 0021620841
Institutional research plan: CEZ:AV0Z10750506
Keywords : econophysics * long-range dependence * time series analysis * rescaled range * periodogram
Subject RIV: AH - Economics
Impact factor: 0.650, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-term memory and its evolution in returns of stock index px between 1997 and 2009.pdf

Tato práce se zabývá procesy s dlouhodobou pamětí, jejich vývojem a jejich použitím ve výpočtech výnosu burzovního indexu PX v letech 1997 - 2009

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature inter- prets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experien- ced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.
Permanent Link: http://hdl.handle.net/11104/0188905