0348351 20250626104507.920101101235959.9 000282356600003 17 s. cav_un_epca*02516610032-3233584 (2010)471-478Vysoká škola ekonomická v Praze econophysics long-range dependence time series analysis rescaled range periodogram cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-term memory and its evolution in returns of stock index px between 1997 and 2009.pdf GAUK 118310 GAUK CZ MŠMT 0021620841 MŠMT CZ GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 Tato práce se zabývá procesy s dlouhodobou pamětí, jejich vývojem a jejich použitím ve výpočtech výnosu burzovního indexu PX v letech 1997 - 2009 Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature inter- prets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experien- ced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior. 2011 AH 1 http://hdl.handle.net/11104/0188905 ECONOMICS|POLITICALSCIENCE 0.033 8 0.270 29.54 0.52 Q2 4.488 45.821 Q4 Q2 2010 000282356600003 WOS cav_un_epca*0251661 Politická ekonomie 0032-3233 2336-8225 Roč. 58 č. 4 2010 471 478 Vysoká škola ekonomická v Praze