THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES
We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and Russian, Argentine crisis and Global crisis from 200...
| Main Authors: | , , |
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| Format: | Article |
| Language: | deu |
| Published: |
University of Oradea
2014-07-01
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| Series: | Annals of the University of Oradea: Economic Science |
| Subjects: | |
| Online Access: | http://anale.steconomiceuoradea.ro/volume/2014/n1/084.pdf |