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Citations for "Real and Spurious Long Memory Properties of Stock Market Data"

by Lobato, I.N. & Savin, N.E.

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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.):
  1. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]
  2. Lux, Thomas, 2004. "The Markov-Switching Multi-Fractal Model of Asset Returns : GMM Estimation and Linear Forecasting of Volatility," Economics working papers 2004,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  3. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society. [Downloadable!]
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  4. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany. [Downloadable!]
  5. Alan Kirman & Gilles Teyssière, 2002. "Microeconomic Models for Long Memory in the Volatility of Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(4), pages 1083-1083. [Downloadable!] (restricted)
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  6. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The non- and semiparametric analysis of MS models : some applications," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
  7. Lux, Thomas, 2003. "The Multi-Fractal Model of Asset Returns: Its Estimation via GMM and Its Use for Volatility Forecasting," Economics working papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  8. Rehim Kili&art1;, 2004. "On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 915-922, September. [Downloadable!] (restricted)
  9. 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!]
  10. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
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  11. Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  12. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
  13. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  14. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]
  15. 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!]
  16. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
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  17. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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  18. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  19. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  20. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
  21. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
  22. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
  23. Lux, Thomas, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Economics working papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  24. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer, vol. 27(2), pages 136-152, June. [Downloadable!] (restricted)
  25. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  26. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  27. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
  28. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO. [Downloadable!]
  29. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
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  30. Claudio Morana & Nuno Cassola, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank. [Downloadable!]
  31. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  32. Liudas Giraitis & Piotr Kokoszka & Remigijus Leipus & Gilles Teyssière, 2000. "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 113-128, January. [Downloadable!] (restricted)
  33. Alfarano, Simone & Lux, Thomas, 2003. "A Minimal Noise Trader Model with Realistic Time Series Properties," Economics working papers 2003,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  34. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  35. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques," Economics and Finance Discussion Papers 05-10, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  36. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics working papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  37. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
  38. Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  39. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(2), pages 95-116, April. [Downloadable!] (restricted)
  40. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research. [Downloadable!]
  41. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  42. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  43. Alfarano, Simone & Lux, Thomas, 2005. "A Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory," Economics working papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  44. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
  45. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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This page was last updated on 2008-11-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.