On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach

Chaker Aloui and Duc Khuong Nguyen

No 2014-184, Working Papers from Department of Research, Ipag Business School

Abstract: We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis to investigate the dynamic behavior of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to

Keywords: persistence; Mediterranean markets; wavelet analysis; Hurst exponent; return behavior (search for similar items in EconPapers)
JEL-codes: C14 C58 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2014-01-01
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Citations: View citations in EconPapers (9)

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Journal Article: On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach (2014)
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