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Some International Evidence Regarding the Stochastic Memory of Stock Returns

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Crato, Nuno

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 4 (1994)
Issue (Month): 1 (February)
Pages: 33-39
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Handle: RePEc:taf:apfiec:v:4:y:1994:i:1:p:33-39

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  1. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September. [Downloadable!]
  3. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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  4. KIANI, Khurshid M., 2007. "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 103-118. [Downloadable!]
  5. Christos Christodoulou-Volos & Fotios M. Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(18), pages 1331-1338, December. [Downloadable!] (restricted)
  6. John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics. [Downloadable!]
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  7. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-13. [Downloadable!]
  8. Adnan Kasman & Erdost Torun, 2007. "Long Memory in the Turkish Stock Market Return and Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 13-27. [Downloadable!]
  9. John Barkoulas & Christopher F. Baum, 1996. "Fractional Dynamics in Japanese Financial Time Series," Boston College Working Papers in Economics 334., Boston College Department of Economics. [Downloadable!]
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