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Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach
Journal of Quantitative Economics Pub Date : 2020-10-16 , DOI: 10.1007/s40953-020-00220-0
Avishek Bhandari , Bandi Kamaiah

This paper seeks to understand the long memory behaviour of global equity returns using novel methods from wavelet analysis. We implement the wavelet based multivariate long memory approach, which possibly is the first application of wavelet based multivariate long memory technique in finance and economics. In doing so, long-run correlation structures among global equity returns are captured within the framework of wavelet-multivariate long memory methods, enabling one to analyze the long-run correlation among several markets exhibiting both similar and dissimilar fractal structures.



中文翻译:

全球股票市场中的长记忆性和分形性:多元小波方法

本文试图通过小波分析的新方法来理解全球股票收益的长期记忆行为。我们实现了基于小波的多元长记忆方法,这可能是基于小波的多元长记忆技术在金融领域的首次应用。这样一来,在小波多元长期记忆方法的框架内就可以捕捉到全球股票收益之间的长期相关性结构,从而使人们能够分析表现出相似和不相似的分形结构的几个市场之间的长期相关性。

更新日期:2020-10-16
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