Dynamic long-range dependences in the Swiss stock market.

Although the analysis of dependence in financial markets started a century ago, there is still room for new work, both because statistical methods continue to de developed, allowing stronger and more robust analysis, and because more and more data is available. In this context, we propose to make a deep analysis of the Swiss stock market, one of the most important financial centres in the world, studying the main index and also 19 of its 20 components. We use detrended fluctuation analysis, which allows us to analyse the existence of long-term dependence in a given variable. As our objective is to analyse the evolution of that dependence over time, we use a sliding windows approach. The results show that several of the analysed stocks have a behaviour which is not consistent with the absence of dependence, which could be informative for actual and potential investors. [ABSTRACT FROM AUTHOR]