Is there long memory in financial time series?
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- Guglielmo Maria Caporale & Luis Gil-Alana, 2011.
"The weekly structure of US stock prices,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," CESifo Working Paper Series 3245, CESifo Group Munich.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin 1077, DIW Berlin, German Institute for Economic Research.
- Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
- Zhijie Xiao & Luiz Renato Lima, 2007.
"Testing Covariance Stationarity,"
Taylor & Francis Journals, vol. 26(6), pages 643-667.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing covariance stationarity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- repec:eee:econom:v:211:y:2019:i:1:p:206-242 is not listed on IDEAS
- Sun, Jingwei & Shi, Wendong, 2014. "Aggregation of the generalized fractional processes," Economics Letters, Elsevier, vol. 124(2), pages 258-262.
- John Elder & Sriram Villupuram, 2012. "Persistence in the return and volatility of home price indices," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1855-1868, November.
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