Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case
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- repec:ebl:ecbull:v:7:y:2007:i:1:p:1-11 is not listed on IDEAS
- Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
- Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
- Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
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- Chaker Aloui & Duc Khuong Nguyen, 2014.
"On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach,"
Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
- Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
More about this item
Keywordsfinancial reforms; long-range dependence; weak-form efficiency; Hurst's exponent; rolling sample approach.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
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