Chin, Wencheong (2008): Spurious long-range dependence: evidence from Malaysian equity markets.
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In this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of economic shocks and short-range dependence in all the indices has triggered the spurious long-range dependence in our empirical results. It is also found that the modified approach estimation is robust under the presence of short-range dependence.
|Item Type:||MPRA Paper|
|Original Title:||Spurious long-range dependence: evidence from Malaysian equity markets|
|Keywords:||Keywords: long-range dependence, variance aggregated-time plot, financial time series, self-similar process|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||wencheong chin|
|Date Deposited:||25. Mar 2008 09:26|
|Last Modified:||16. Feb 2013 08:17|
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