Fractal analysis revisited: The case of the US industrial sector stocks
In contrast to earlier studies of long memories, this paper indicates that most of the US industrial sector stocks have the long memories when we consider the structural changes for the Hurst exponents
Volume (Year): 37 (2017)
Issue (Month): 2 ()
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- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Springer, vol. 45(4), pages 465-515, October.
- Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
- Enrico Onali & John Goddard, 2014. "Are European equity markets efficient? New evidence from fractal analysis," Papers 1402.1440, arXiv.org.
- Barkoulas, John T. & Baum, Christopher F., 1996. "Long-term dependence in stock returns," Economics Letters, Elsevier, vol. 53(3), pages 253-259, December.
- Christopher F. Baum & John Barkoulas, 1996. "Long Term Dependence in Stock Returns," Boston College Working Papers in Economics 314., Boston College Department of Economics.
- Artwell Chimanga & Chipo Mlambo, 2014. "The Fractal Nature Of The Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, vol. 16(1), pages 39-56.
- Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
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