Ranking efficiency for emerging markets

DOI10.1016/J.CHAOS.2004.02.005MaRDI QIDQ1766633zbMATH OpenOpenAlexFDO

Authors D. O. Cajueiro, Benjamin Miranda Tabak

Publication date 8 March 2005

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

Full work available at URL https://repositorio.ucb.br:9443/jspui/handle/123456789/7916

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Long-Term Memory in Stock Market Prices
• Long-term dependence in stock returns

Cited in

(19)

• Scaling behaviors in differently developed markets
• Inefficiency in Latin-American market indices
• Fractional order stochastic differential equation with application in European option pricing
• Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
• Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns
• Dynamic efficiency in the east European emerging markets
• Testing for long range dependence in banking equity indices
• Market efficiency of the post communist East European stock markets
• AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Measuring and monitoring the efficiency of markets
• Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
• Dynamic hedging based on fractional order stochastic model with memory effect
• What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
• A simple and fast representation space for classifying complex time series
• Ranking efficiency for emerging equity markets. II
• Measuring market efficiency: the Shannon entropy of high-frequency financial time series
• Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
• Testing for long-range dependence in world stock markets

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