Arbeitspapier
Persistence, non-linearities and structural breaks in European stock market indices
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 7667
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
- Subject
-
European stock markets
nonstationarity
unit roots
fractional integration
persistence
non-linearities
- Event
-
Geistige Schöpfung
- (who)
-
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Poza, Carlos
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Gil-Alaña, Luis A.
- Poza, Carlos
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2019
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