Les tests de mémoire longue appartiennent-ils au "camp du démon" ?

Sandrine Lardic (), Valérie Mignon () and Claude Jessua

Revue Économique, 1996, vol. 47, issue 3, 531-540

Abstract: [eng] The purpose of this paper is to test the dependence structure of financial series of stock returns and foreign exchange rates. To do this, R/S analysis and various ARFIMA methods have been implemented in order to detect the presence of long-term memory. The main result concerns Canadian markets for which we find persistence and anti-persistence phenomena in the foreign exchange market (dollar-Canadian dollar) and in the stock market (TSE 300) respectively. [fre] L'objet de cet article est de tester le type de la structure de dépendance des séries financières d'indices boursiers et de taux de change. A cette fin ont été mises en œuvre les procédures de détection de la mémoire longue que sont les analyses R/S et les diverses techniques ARFIMA. Le résultat particulièrement intéressant concerne les marchés canadiens pour lesquels nous décelons des phénomènes de persistance sur le marché des changes ($/$ canadien) et d'anti-persistance sur le marché boursier (TSE 300).

Date: 1996
Note: DOI:10.3406/reco.1996.409789
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