Testing for long-range dependence in world stock markets

DOI10.1016/J.CHAOS.2006.09.090MaRDI QIDQ2425502zbMATH OpenOpenAlexFDO

Authors D. O. Cajueiro, Benjamin Miranda Tabak

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)

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Cites work

• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• A critical look at Lo's modified \(R/S\) statistic.
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Long memory processes and fractional integration in econometrics
• Long-Term Memory in Stock Market Prices
• On blocking rules for the bootstrap with dependent data
• Ranking efficiency for emerging equity markets. II
• Ranking efficiency for emerging markets
• Rescaled variance and related tests for long memory in volatility and levels
• Stock market prices and long-range dependence
• Tests of long memory: a bootstrap approach
• The pricing of options and corporate liabilities
• The rescaled variance statistic and the determination of the Hurst exponent

Cited in

(16)

• Stability Testing of Stock Returns Connections
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
• scientific article; zbMATH DE number 5495173 (Why is no real title available?)
• Self-similarity in financial markets: a fractionally integrated approach
• Testing for long range dependence in banking equity indices
• scientific article; zbMATH DE number 1984192 (Why is no real title available?)
• Estimating the Hurst parameter in financial time series via heuristic approaches
• Inefficiency in Latin-American market indices
• Ranking efficiency for emerging markets
• A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
• Ranking efficiency for emerging equity markets. II
• Stock volatility analysis in financial markets based on diffusion entropy
• Long-range dependence of time series for MSFT data of the prices of shares and returns
• Disturbances and complexity in volatility time series
• Long-Term Memory in Stock Market Prices
• Testing for long-range dependence in the Brazilian term structure of interest rates

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