Testing for long-range dependence in world stock markets

DOI10.1016/j.chaos.2006.09.090zbMath1136.91557OpenAlexW2073362545MaRDI QIDQ2425502

Benjamin Miranda Tabak, Daniel O. Cajueiro

Publication date: 5 May 2008

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://repositorio.ucb.br:9443/jspui/handle/123456789/7353

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (4)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Self-similarity in financial markets: a fractionally integrated approach ⋮ Disturbances and complexity in volatility time series ⋮ A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe

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