Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

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Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

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Matteo, T. Di
Aste, T.
Dacorogna, Michel M.

Additional information is available for the following registered author(s):

Michel M Dacorogna

Abstract

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 4 (April)
Pages: 827-851
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Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:827-851

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Paper
- T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA. [Downloadable!]

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188. [Downloadable!] (restricted)
Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
Other versions:
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation, Yale University, revised Jul 1989. [Downloadable!]
Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December. [Downloadable!] (restricted)
Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation, Yale University, revised Sep 2003. [Downloadable!]
Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA. [Downloadable!]
Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Phillips, Peter C.B., 2007. "Unit root log periodogram regression," Journal of Econometrics, Elsevier, vol. 127(1), pages 104-124, May. [Downloadable!] (restricted)
Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation, Yale University. [Downloadable!]
Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
Other versions:
- Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
Other versions:
- Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82. [Downloadable!] (restricted)
Espinosa Méndez, Christian, 2007. "Effect Weekend And Effect Month End In The Chilean Stock Market," MPRA Paper 3252, University Library of Munich, Germany. [Downloadable!]

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