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North Africa Stock Markets: Analysis of Unit Root and Long Memory Process Author info | Abstract | Publisher info | Download info | Related research | Statistics Ibrahim Onour
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Paper provided by Arab Planning Institute - Kuwait, Information Center in its series API-Working Paper Series with number
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Keywords: 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.:
Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
"Modeling and pricing long memory in stock market volatility ,"
Journal of Econometrics ,
Elsevier, vol. 73(1), pages 151-184, July.
[Downloadable!] (restricted)
Bierens, Herman J., 1997.
"Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ,"
Journal of Econometrics ,
Elsevier, vol. 81(1), pages 29-64, November.
[Downloadable!] (restricted)
Granger, Clive W. J. & Ding, Zhuanxin, 1996.
"Varieties of long memory models ,"
Journal of Econometrics ,
Elsevier, vol. 73(1), pages 61-77, July.
[Downloadable!] (restricted)
Other versions: W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996.
"A test for independence based on the correlation dimension ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 15(3), pages 197-235.
[Downloadable!] (restricted)
Diebold, Francis X. & Rudebusch, Glenn D., 1991.
"On the power of Dickey-Fuller tests against fractional alternatives ,"
Economics Letters ,
Elsevier, vol. 35(2), pages 155-160, February.
[Downloadable!] (restricted)
Other versions: Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration ,"
Journal of Finance ,
American Finance Association, vol. 50(2), pages 403-44, June.
[Downloadable!] (restricted)
Other versions: Breitung, Jorg & Gourieroux, Christian, 1997.
"Rank tests for unit roots ,"
Journal of Econometrics ,
Elsevier, vol. 81(1), pages 7-27, November.
[Downloadable!] (restricted)
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