New insights on stock returns

A paper by Banque de France aims to give new insights about short- and long-run dependencies in stock returns.

The paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models to provide these new insights about short and long run dependencies in stock returns. The main advantage of the model is to allow for the derivation of several indicators of comovements on heterogenous lasting horizons. Empirical applications are performed for four

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