Testing for long range dependence in banking equity indices

DOI10.1016/J.CHAOS.2005.03.026zbMATH Open1122.91364OpenAlexW1988341980MaRDI QIDQ2484774FDOQ2484774

Authors: D. O. Cajueiro, Benjamin Miranda Tabak 

Publication date: 1 August 2005

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

Full work available at URL: https://repositorio.ucb.br:9443/jspui/handle/123456789/7582

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Long-Term Memory in Stock Market Prices
• Stock market prices and long-range dependence
• Estimating long-range dependence in the presence of periodicity: An empirical study
• Long-term dependence in stock returns
• Ranking efficiency for emerging markets
• Ranking efficiency for emerging equity markets. II

Cited In (7)

• Testing power-law cross-correlations: rescaled covariance test
• Title not available (Why is that?)
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Time-varying long-range dependence in US interest rates
• Ranking efficiency for emerging markets
• Ranking efficiency for emerging equity markets. II
• Testing for long-range dependence in world stock markets

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