Testing for Long Range Dependence in Banking Equity Indices
نویسندگان
چکیده
This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers. Keywords— banking indices, fractional dynamics, long memory, developed economics, emerging markets.
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