Market Efficiency, Roughness and Long Memory in PSI20 Index Returns: Wavelet and Entropy Analysis
In this study, features of the financial returns of the PSI20index, related to market efficiency, are captured using wavelet- and entropy-based techniques. This characterization includes the following points. First, the detection of long memory, associated with low frequencies, and a global measure...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-05-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/16/5/2768 |
