BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

ACTA WASAENSIA 1350.4Stock 10.4Stock 20.30.3ACF0.20.1ACF0.20.100−0.10 100 200 300lag−0.10 100 200 300lag0.3Index (equal weighted)0.4Index (cap. weigthed)0.20.3ACF0.1ACF0.20.100−0.10 100 200 300lag−0.10 100 200 300lagFigure 18. Autocorrelation diagram of absolute (dark solid line), squared (lightdashed line) and raw returns (dark dashed line) over 300 lags.Table 19. Estimates of the long memory parameter d for squared returns (upper panel)and absolute returns (lower panel) for both stocks, the equal weighted index,and the capitalization weighted index over the full sample of 20,000observations and over 10 subsamples of 2,000 observations each. The lastcolumn contains the number of significantly positive estimated long memoryparameters at a significance level of 5%. All estimates of d over the fullsample are significantly positive.Squared ˆd full 10 samples # ˆd sign. > 0Returns sample min( ˆd) median(ˆd) max(ˆd) in 10 samplesStock 1 0.27 0.31 0.56 0.90 8Stock 2 0.40 0.27 0.56 0.77 9Index (EW) 0.35 0.21 0.51 0.74 8Index (CW) 0.37 0.29 0.58 0.69 8Absolute ˆd full 10 samples # ˆd sign. > 0Returns sample min( ˆd) median(ˆd) max(ˆd) in 10 samplesStock 1 0.46 0.40 0.65 0.73 9Stock 2 0.49 0.41 0.60 0.86 9Index (EW) 0.48 0.22 0.55 0.74 7Index (CW) 0.41 0.33 0.61 0.83 7