Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach
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- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta, 2018. "Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach," Working Papers 201824, University of Pretoria, Department of Economics.
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"The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches,"
International Review of Economics & Finance,
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019. "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers 201952, University of Pretoria, Department of Economics.
- repec:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195 is not listed on IDEAS
More about this item
KeywordsStock market; Efficiency; Short-term; Long-term; Multifractal detrended fluctuation analysis; Hurst exponent;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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