IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v12y2009i03ns0219024909005233.html
   My bibliography  Save this article

Wavelet Estimators For Long Memory In Stock Markets

Author

Listed:
  • ANOUAR BEN MABROUK

    (Computational Mathematics Laboratory, Department of Mathematics, Faculty of Sciences, 5000 Monastir, Tunisia)

  • HEDI KORTAS

    (Higher Institute of Management, Department of Quantitative, Methods, Street of Abdel-Aziz El-Bahi, 4000 Sousse, Tunisia)

  • SAMIR BEN AMMOU

    (Computational Mathematics Laboratory, Department of Mathematics, Faculty of Sciences, 5000 Monastir, Tunisia)

Abstract

In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.

Suggested Citation

  • Anouar Ben Mabrouk & Hedi Kortas & Samir Ben Ammou, 2009. "Wavelet Estimators For Long Memory In Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 297-317.
    • Handle: RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005233
    DOI: 10.1142/S0219024909005233
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024909005233
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024909005233?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J., 2001. "An Introduction to Wavelets and Other Filtering Methods in Finance and Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122796708.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Olfa Zaafrane & Anouar Ben Mabrouk, 2011. "A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation," Papers 1102.3702, arXiv.org.
    2. Ines Kahloul & Anouar Ben Mabrouk & Slah-Eddine Hallara, 2010. "Wavelet-Based Prediction for Governance, Diversification and Value Creation Variables," Papers 1011.5020, arXiv.org.
    3. Majed S. Balalaa & Anouar Ben Mabrouk & Habiba Abdessalem, 2021. "A Wavelet-Based Method for the Impact of Social Media on the Economic Situation: The Saudi Arabia 2030-Vision Case," Mathematics, MDPI, vol. 9(10), pages 1-21, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, University Library of Munich, Germany.
    2. Yushu Li & Fredrik N. G. Andersson, 2021. "A simple wavelet-based test for serial correlation in panel data models," Empirical Economics, Springer, vol. 60(5), pages 2351-2363, May.
    3. Dimitrios Panagiotou & Athanassios Stavrakoudis, 2023. "Price dependence among the major EU extra virgin olive oil markets: a time scale analysis," Review of Agricultural, Food and Environmental Studies, Springer, vol. 104(1), pages 1-26, March.
    4. Akan, Taner & Gündüz, Halil İbrahim & Emirmahmutoğlu, Furkan & Işık, Ali Haydar, 2023. "Disaggregating renewable energy-growth nexus: W-ARDL and W-Toda-Yamamoto approaches," Renewable and Sustainable Energy Reviews, Elsevier, vol. 188(C).
    5. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
    6. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
    7. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    8. Mustapha Olalekan Ojo & Luís Aguiar‐Conraria & Maria Joana Soares, 2024. "The performance of OECD's composite leading indicator," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2265-2277, April.
    9. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
    10. Ahmad Alrazni Alshammari, Basheer Altarturi, Buerhan Saiti, Latifah Munassar, 2020. "The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: a wavelet analysis," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 17(1), pages 31-54, June.
    11. Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
    12. Yi Xiao & Shouyang Wang & Ming Xiao & Jin Xiao & Yi Hu, 2017. "The Analysis for the Cargo Volume with Hybrid Discrete Wavelet Modeling," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 851-863, May.
    13. Emmanuel Asafo-Adjei & Ebenezer Boateng & Zangina Isshaq & Anthony Adu-Asare Idun & Peterson Owusu Junior & Anokye M Adam, 2021. "Financial sector and economic growth amid external uncertainty shocks: Insights into emerging economies," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-26, November.
    14. Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
    15. Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance 0409056, University Library of Munich, Germany.
    16. Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
    17. Caraiani, Petre, 2015. "Estimating DSGE models across time and frequency," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 33-49.
    18. Remzi Gök & Erkan Kara, 2021. "Impacts of the Covid-19 Pandemic on the Agricultural Prices: New Insights from CWT Granger Causality Test," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(SI), pages 76-96.
    19. Smolik, Filip & Vacha, Lukas, 2015. "Time-scale analysis of sovereign bonds market co-movement in the EU," FinMaP-Working Papers 44, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    20. Antonio Focacci, 2023. "A Wavelet Investigation of Periodic Long Swings in the Economy: The Original Data of Kondratieff and Some Important Series of GDP per Capita," Economies, MDPI, vol. 11(9), pages 1-21, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.