SPRINGER2021

Long Memory and Fractality Among Global Equity Markets: A Multivariate Wavelet Approach

Bhandari, A., Kamaiah, B.

Journal of Quantitative Economics, Vol. 19, 2021 · DOI: 10.1007/s40953-020-00220-0

Multivariate wavelet analysis framework reveals previously undetected long memory and fractality patterns among global equity markets, advancing understanding of market efficiency and interdependence.

Key results

Applies a multivariate wavelet framework to global equity markets.
Detects long-memory and fractality patterns bearing on market efficiency and interdependence.