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Daniel Oliveira Cajueiro

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.

    Mentioned in:

    1. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility (Energy Economics 2007) in ReplicationWiki ()

Working papers

  1. Douglas Silveira & Silvinha Vasconcelos & Marcelo Resende & Daniel O. Cajueiro, 2021. "Won't Get Fooled Again: A Supervised Machine Learning Approach for Screening Gasoline Cartels," CESifo Working Paper Series 8835, CESifo.

    Cited by:

    1. Kurdoglu, Berkay & Yucel, Eray, 2022. "A Cointegration-based cartel screen for detecting collusion," MPRA Paper 113888, University Library of Munich, Germany.
    2. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature," Working Papers 2023-7, University of Alberta, Department of Economics.
    3. Imhof, David & Wallimann, Hannes, 2021. "Detecting bid-rigging coalitions in different countries and auction formats," International Review of Law and Economics, Elsevier, vol. 68(C).
    4. Bovin, Andreas & Bos, Iwan, 2023. "Market Shares as Collusive Marker: Evidence from the European Truck Industry," Research Memorandum 011, Maastricht University, Graduate School of Business and Economics (GSBE).
    5. David Imhof & Hannes Wallimann, 2021. "Detecting bid-rigging coalitions in different countries and auction formats," Papers 2105.00337, arXiv.org.

  2. Sergio Henrique Rodrigues da Silva & Benjamin Miranda Tabak & Daniel Oliveira Cajueiro & Dimas Mateus Fazio, 2018. "Economic Growth, Volatility and Their Interaction: What’s the role of finance?," Working Papers Series 474, Central Bank of Brazil, Research Department.

    Cited by:

    1. Abbas, Hafiz Syed Mohsin & Xu, Xiaodong & Sun, Chunxia, 2023. "Dynamics of group grievances from a global cohesion perspective," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
    2. Abdulaziz H. Algaeed, 2022. "Government Spending Volatility and Real Economic Growth: Evidence From a Major Oil Producing Country, Saudi Arabia, 1970 to 2018," SAGE Open, , vol. 12(2), pages 21582440221, April.
    3. Thiago Christiano Silva & Benjamin Miranda Tabak & Marcela Tetzner Laiz, 2019. "The Finance-Growth Nexus: the role of banks," Working Papers Series 506, Central Bank of Brazil, Research Department.
    4. Kong, Qunxi & Guo, Rui & Wang, Yang & Sui, Xiuping & Zhou, Shimin, 2020. "Home-country environment and firms’ outward foreign direct investment decision: Evidence from Chinese firms," Economic Modelling, Elsevier, vol. 85(C), pages 390-399.

  3. Dimas Mateus Fazio & Thiago Christiano Silva & Benjamin Miranda Tabak & Daniel Oliveira Cajueiro, 2018. "Inflation Targeting and Financial Stability: does the quality of institutions matter?," Working Papers Series 470, Central Bank of Brazil, Research Department.

    Cited by:

    1. Mutarindwa, Samuel & Schäfer, Dorothea & Stephan, Andreas, 2020. "Central banks' supervisory guidance on corporate governance and bank stability: Evidence from African countries," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43.
    2. Wang, Ruohan & Xue, Yi & Zheng, Wenping, 2021. "Does high external debt predict lower economic growth? Role of sovereign spreads and institutional quality," Economic Modelling, Elsevier, vol. 103(C).
    3. Melchisedek Joslem Ngambou Djatche, 2018. "Re-Exploring the Nexus between Monetary Policy and Banks' Risk-Taking," GREDEG Working Papers 2018-12, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    4. Garriga, Ana Carolina & Rodriguez, Cesar M., 2020. "More effective than we thought: Central bank independence and inflation in developing countries," Economic Modelling, Elsevier, vol. 85(C), pages 87-105.
    5. Agoraki, Maria-Eleni K. & Kouretas, Georgios P. & Triantopoulos, Christos, 2020. "Democracy, regulation and competition in emerging banking systems," Economic Modelling, Elsevier, vol. 84(C), pages 190-202.
    6. Chrysovalantis Gaganis & Emilios C. C Galariotis & Fotios Pasiouras & Christos Staikouras, 2020. "Bank Profit Efficiency and Financial Consumer Protection Policies," Post-Print hal-02870297, HAL.
    7. Shabir, Mohsin & Jiang, Ping & Wang, Wenhao & Işık, Özcan, 2023. "COVID-19 pandemic impact on banking sector: A cross-country analysis," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    8. Goran Petrevski, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," Papers 2305.17474, arXiv.org.
    9. Aamir Aijaz Syed & Muhammad Abdul Kamal & Assad Ullah & Simon Grima, 2022. "An Asymmetric Analysis of the Influence That Economic Policy Uncertainty, Institutional Quality, and Corruption Level Have on India’s Digital Banking Services and Banking Stability," Sustainability, MDPI, vol. 14(6), pages 1-21, March.
    10. Phan, Dinh Hoang Bach & Iyke, Bernard Njindan & Sharma, Susan Sunila & Affandi, Yoga, 2021. "Economic policy uncertainty and financial stability–Is there a relation?," Economic Modelling, Elsevier, vol. 94(C), pages 1018-1029.
    11. Fărcaș, Ioana Georgiana & Nistor, Simona, 2023. "The impact of culture on government interventions in the banking sector," Economic Modelling, Elsevier, vol. 129(C).
    12. Svitlana V. Onyshchuk & Igor I. Onyshchuk & Olha Petroye & Roman Chernysh, 2020. "Financial Stability and its Impact on National Security State: Organizational and Legal Aspects," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 353-365.
    13. MBASSI, Christophe Martial & HYOBA, Suzanne Edwige Clarisse & SHAHBAZ, Muhammad, 2023. "Does monetary policy really matter for environmental protection? The case of inflation targeting," Research in Economics, Elsevier, vol. 77(3), pages 427-452.
    14. Shabir, Mohsin & Jiang, Ping & Bakhsh, Satar & Zhao, Zhongxiu, 2021. "Economic policy uncertainty and bank stability: Threshold effect of institutional quality and competition," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    15. Suh, Sangwon & Kim, Daehwan, 2021. "Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    16. Le, Anh-Tuan & Doan, Anh-Tuan & Phan, Thu, 2021. "Institutional development and firm risk from a dynamic perspective: Does ownership structure matter?," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 342-357.
    17. Petrevski, Goran, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," EconStor Preprints 271122, ZBW - Leibniz Information Centre for Economics.
    18. Fouda Owoundi, Jean-Pierre & Mbassi, Christophe Martial & Owoundi, Ferdinand, 2021. "Does inflation targeting weaken financial stability? Assessing the role of institutional quality," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 374-398.
    19. Svetlana Drobyazko & Anna Barwinska-Malajowicz & Boguslaw Slusarczyk & Olga Chubukova & Taliat Bielialov, 2020. "Risk Management in the System of Financial Stability of the Service Enterprise," JRFM, MDPI, vol. 13(12), pages 1-15, November.
    20. Silva, Thiago Christiano & Coelho, Florângela Cunha & Ehrl, Philipp & Tabak, Benjamin Miranda, 2020. "Internet access in recessionary periods: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    21. Gabriel Caldas Montes & José Américo Pereira Antunes & Alexei Ferreira Araújo, 2021. "Effects of monetary policy and credibility on financial intermediation: evidence from the Brazilian banking sector," Empirical Economics, Springer, vol. 60(3), pages 1191-1219, March.
    22. Alexandru Minea & René Tapsoba & Patrick Villieu, 2021. "Inflation targeting adoption and institutional quality: Evidence from developing countries," Post-Print hal-03557876, HAL.
    23. Kassouri, Yacouba & Altıntaş, Halil & Bilgili, Faik, 2020. "An investigation of the financial resource curse hypothesis in oil-exporting countries: The threshold effect of democratic accountability," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    24. Cavallaro, Eleonora & Cutrini, Eleonora, 2019. "Distance and beyond: What drives financial flows to emerging economies?," Economic Modelling, Elsevier, vol. 81(C), pages 533-550.
    25. Tuong Le & Minh Thanh Vo & Bay Vo & Mi Young Lee & Sung Wook Baik, 2019. "A Hybrid Approach Using Oversampling Technique and Cost-Sensitive Learning for Bankruptcy Prediction," Complexity, Hindawi, vol. 2019, pages 1-12, August.
    26. Dridi, Ichrak & Boughrara, Adel, 2021. "On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 179-194.

  4. Barroso, Ricardo Vieira & Lima, Joaquim Ignacio Alves Vasconcellos & Lucchetti, Alexandre Henrique & Cajueiro, Daniel Oliveira, 2016. "Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning," MPRA Paper 73308, University Library of Munich, Germany.

    Cited by:

    1. Morteza Alaeddini & Julie Dugdale & Paul Reaidy & Philippe Madiès & Önder Gürcan, 2021. "An Agent-Oriented, Blockchain-Based Design of the Interbank Money Market Trading System," Post-Print hal-03447648, HAL.
    2. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).

  5. Anderson Mutter Teixeira & Benjamin M. Tabak & Daniel O. Cajueiro, 2016. "The 2d:4d Ratio And Myopic Loss Aversion (Mla): An Experimental Investigation," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 129, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    Cited by:

    1. da Silva, Eduardo Borges & Silva, Thiago Christiano & Constantino, Michel & Amancio, Diego Raphael & Tabak, Benjamin Miranda, 2020. "Overconfidence and the 2D:4D ratio," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    2. Nofsinger, John R. & Patterson, Fernando M. & Shank, Corey A., 2018. "Decision-making, financial risk aversion, and behavioral biases: The role of testosterone and stress," Economics & Human Biology, Elsevier, vol. 29(C), pages 1-16.

  6. Benjamin Miranda Tabak & Daniel Oliveira Cajueiro & Marina V. B. Dias, 2014. "The Efficiency of Chinese Local Banks: A comparison of DEA and SFA," Working Papers Series 346, Central Bank of Brazil, Research Department.

    Cited by:

    1. S G Sisira Dharmasri Jayasekara & K L Wasantha Perera & A Roshan Ajward, 2018. "Fair Value Accounting Practices and Efficiency of Banks: A Theoretical Perspective," Accounting and Finance Research, Sciedu Press, vol. 7(4), pages 1-66, November.

  7. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin Miranda Tabak & Thiago Christiano Silva & Ahmet Sensoy, 2019. "Financial Networks 2019," Complexity, Hindawi, vol. 2019, pages 1-2, December.

  8. Dimas M. Fazio & Benjamin M. Tabak & Daniel O. Cajueiro, 2014. "Inflation Targeting and Banking System Soundness: A Comprehensive Analysis," Working Papers Series 347, Central Bank of Brazil, Research Department.

    Cited by:

    1. Adel Bogari, 2020. "Revisiting the Nexus Between Inflation Targeting and the Build-Up of the Financial Imbalances," Applied Economics and Finance, Redfame publishing, vol. 7(2), pages 85-95, March.

  9. Benjamin M. Tabak & Daniel O. Cajueiro & Alexandre B. Sollaci, 2011. "Forecasting the Yield Curve for the Euro Region," Working Papers Series 247, Central Bank of Brazil, Research Department.

    Cited by:

    1. Feng, Pan & Qian, Junhui, 2018. "Forecasting the yield curve using a dynamic natural cubic spline model," Economics Letters, Elsevier, vol. 168(C), pages 73-76.

  10. Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2011. "The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?," Working Papers Series 261, Central Bank of Brazil, Research Department.

    Cited by:

    1. Sääskilahti, Jaakko, 2016. "Local bank competition and small business lending after the onset of the financial crisis," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 37-51.
    2. Kabir Md. Nurul & Andrew C. Worthington, 2015. "The â competitionâ stability/fragilityâ nexus: A comparative analysis of Islamic and conventional banks," Discussion Papers in Finance finance:201513, Griffith University, Department of Accounting, Finance and Economics.
    3. Joseph Olorunfemi Akande & Farai Kwenda, 2017. "Does Competition Cause Stability in Banks? SFA and GMM Application to Sub-Saharan Africa Commercial Banks," Journal of Economics and Behavioral Studies, AMH International, vol. 9(4), pages 173-186.
    4. Craig, B.R. & Dinger, V., 2010. "Deposit Market Competition, Wholesale Funding, and Bank Risk," Other publications TiSEM a9e231cc-ad0f-4c0e-a89a-9, Tilburg University, School of Economics and Management.
    5. Wu, Ji & Yao, Yao & Chen, Minghua & Jeon, Bang Nam, 2020. "Economic uncertainty and bank risk: Evidence from emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    6. Abu Hanifa Md Noman & Chan Sok Gee & Che Ruhana Isa, 2017. "Does competition improve financial stability of the banking sector in ASEAN countries? An empirical analysis," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-27, May.
    7. González, Luis Otero & Razia, Alaa & Búa, Milagros Vivel & Sestayo, Rubén Lado, 2017. "Competition, concentration and risk taking in Banking sector of MENA countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 591-604.
    8. Kanga, Désiré & Murinde, Victor & Soumaré, Issouf, 2021. "How has the rise of Pan-African banks impacted bank stability in WAEMU?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    9. Amine Tarazi & Tastaftiyan Risfandy & Irwan Trinugroho, 2020. "Competition in dual markets : Implications for banking system stability," Post-Print hal-03543678, HAL.
    10. Haq, Mamiza & Tripe, David & Seth, Rama, 2022. "Do traditional off-balance sheet exposures increase bank risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    11. Jeon, Bang & Wu, Ji & Chen, Minghua & Wang, Rui, 2016. "Do foreign banks take more risk? Evidence from emerging economies," School of Economics Working Paper Series 2016-4, LeBow College of Business, Drexel University.
    12. John Goddard & Phil Molyneux & Jonathan Williams, 2013. "Dealing with Cross-Firm Heterogeneity in Bank Efficiency Estimates: Some evidence from Latin America," Working Papers 13011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    13. Mamonov, M., 2017. "The Regulation of Banks' Access to Credit Market under Imperfect Competition: the Effects on Banking System Stability Estimated," Journal of the New Economic Association, New Economic Association, vol. 33(1), pages 44-74.
    14. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Cesar de Castro Miranda, 2014. "Do Interconnections Matter for Bank Efficiency?," Working Papers Series 374, Central Bank of Brazil, Research Department.
    15. Yoshiaki Ogura, 2019. "Intensified Lending Competition and Search-for-Yield under Prolonged Monetary Easing," NBER Chapters, in: Financial System, 28th NBER-TCER-CEPR Conference, National Bureau of Economic Research, Inc.
    16. Anupam Das Gupta & Syed Moudud-Ul-Huq, 2020. "Do competition and revenue diversification have significant effect on risk-taking? Empirical evidence from BRICS banks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
    17. Barra, Cristian & Ruggiero, Nazzareno, 2021. "Do microeconomic and macroeconomic factors influence Italian bank credit risk in different local markets? Evidence from cooperative and non-cooperative banks," Journal of Economics and Business, Elsevier, vol. 114(C).
    18. Francesco Marchionne & Alberto Zazzaro, 2018. "Risk and competitiveness in the Italian banking sector," Mo.Fi.R. Working Papers 147, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    19. De Bonis, Riccardo & Marinelli, Giuseppe & Vercelli, Francesco, 2018. "Playing yo-yo with bank competition: New evidence from 1890 to 2014," Explorations in Economic History, Elsevier, vol. 67(C), pages 134-151.
    20. Wu, Ji & Guo, Mengmeng & Chen, Minghua & Jeon, Bang Nam, 2019. "Market power and risk-taking of banks: Some semiparametric evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 41(C).
    21. Leon, Florian, 2015. "Does bank competition alleviate credit constraints in developing countries?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 130-142.
    22. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    23. Tongurai, Jittima & Vithessonthi, Chaiporn, 2020. "Bank regulations, bank competition and bank risk-taking: Evidence from Japan," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    24. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
    25. Avalos, Fernando & Mamatzakis, Emmanuel, 2023. "Is bank resilience affected by unconventional monetary policy in the Euro area?," Journal of International Money and Finance, Elsevier, vol. 130(C).
    26. E Philip Davis & Dilruba Karim & Dennison Noel, 2019. "The Bank Capital-Competition-Risk Nexus - A Global Perspective," National Institute of Economic and Social Research (NIESR) Discussion Papers 500, National Institute of Economic and Social Research.
    27. Saadaoui Zied, 2015. "The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems," Review of Middle East Economics and Finance, De Gruyter, vol. 11(2), pages 145-182, August.
    28. de-Ramon, Sebastian & Francis, William B & Straughan, Michael, 2020. "The link between bank competition and risk in the United Kingdom: two views for policymaking," Bank of England working papers 885, Bank of England.
    29. López, Tania & Winkler, Adalbert, 2019. "Does financial inclusion mitigate credit boom-bust cycles?," Journal of Financial Stability, Elsevier, vol. 43(C), pages 116-129.
    30. Annick Pamen Nyola & Alain Sauviat & Amine Tarazi, 2017. "How Does Regulation Affect the Organizational Form of Banks' Presence in Developing and Developed Countries?," Working Papers hal-01369658, HAL.
    31. Christian Haddad & Lars Hornuf, 2021. "The Impact of Fintech Startups on Financial Institutions' Performance and Default Risk," CESifo Working Paper Series 9050, CESifo.
    32. Florian LEON, 2015. "What do we know about the role of bank competition in Africa?," Working Papers 201516, CERDI.
    33. Olszak, Małgorzata & Kowalska, Iwona, 2023. "Do competition and market structure affect sensitivity of bank profitability to the business cycle?," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    34. Changjun Zheng & Anupam Das Gupta & Syed Moudud-Ul-Huq, 2017. "Do market competition and development indicators matter for banks’ risk, capital, and efficiency relationship?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-27, June.
    35. Inka Yusgiantoro & Wahyoe Soedarmono & Amine Tarazi, 2017. "Bank consolidation and financial stability revisited: Evidence from Indonesia," Working Papers hal-01577970, HAL.
    36. Memić Deni, 2015. "Banking Competition and Efficiency: Empirical Analysis on the Bosnia and Herzegovina Using Panzar-Rosse Model," Business Systems Research, Sciendo, vol. 6(1), pages 72-92, March.
    37. Filip Switala & Malgorzata Olszak & Iwona Kowalska, 2013. "Competition in commercial banks in Poland – analysis of Panzar-Rosse H-statistics," Faculty of Management Working Paper Series 42013, University of Warsaw, Faculty of Management.
    38. Barra, Cristian & Zotti, Roberto, 2017. "On the relationship between bank market concentration and stability of financial institutions: Evidence from the Italian banking sector," MPRA Paper 79900, University Library of Munich, Germany.
    39. E. Philip Davis & Dilruba Karim, 2019. "Exploring short‐ and long‐run links from bank competition to risk," European Financial Management, European Financial Management Association, vol. 25(3), pages 462-488, June.
    40. Cesar E. Tamayo & Jose E. Gomez-Gonzalez & Oscar M. Valencia, 2019. "Bank Market Power and Firm Finance: Evidence from Bank and Loan Level Data," Documentos de Trabajo de Valor Público 17404, Universidad EAFIT.
    41. Shijaku, Gerti, 2017. "Bank Stability and Competition: Evidence from Albanian Banking Market," MPRA Paper 79891, University Library of Munich, Germany.
    42. Bátiz-Zuk, Enrique & Lara-Sánchez, José Luis, 2022. "Measuring the evolution of competition and the impact of the financial reform in the Mexican banking sector, 2008–2019," Research in International Business and Finance, Elsevier, vol. 59(C).
    43. Bátiz-Zuk Enrique & Lara Sánchez José Luis, 2021. "Revisiting the link between systemic risk and competition based on network theory and interbank exposures," Working Papers 2021-26, Banco de México.
    44. Liao, Chang-Sheng, 2023. "Deregulation, bank efficiency and economic cooperation across China–Taiwan Strait," Journal of Policy Modeling, Elsevier, vol. 45(2), pages 430-444.
    45. Miguel Sarmiento & Jorge Cely & Carlos León, 2015. "Monitoring the Unsecured Interbank Funds Market," Borradores de Economia 917, Banco de la Republica de Colombia.
    46. Shabir, Mohsin & Jiang, Ping & Shahab, Yasir & Wang, Peng, 2023. "Geopolitical, economic uncertainty and bank risk: Do CEO power and board strength matter?," International Review of Financial Analysis, Elsevier, vol. 87(C).
    47. Ion Lapteacru, 2016. "Convergence of bank competition in Central and Eastern European countries: Does ownership matter?," Working Papers hal-01301853, HAL.
    48. Phan, Hien Thu & Anwar, Sajid & Alexander, W. Robert J. & Phan, Hanh Thi My, 2019. "Competition, efficiency and stability: An empirical study of East Asian commercial banks," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    49. Lapteacru, Ion, 2017. "Market power and risk of Central and Eastern European banks: Does more powerful mean safer?," Economic Modelling, Elsevier, vol. 63(C), pages 46-59.
    50. Juan Carlos CUESTAS & Yannick LUCOTTE & Nicolas REIGL, 2019. "Banking sector concentration, competition and financial stability: the case of the Baltic countries," LEO Working Papers / DR LEO 2731, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    51. Emmanuel C. Mamatzakis & Anh N. Vu, 2017. "The interplay between quantitative easing and risk: the case of the Japanese banking," Working Papers 226, Bank of Greece.
    52. Olszak, Małgorzata & Kowalska, Iwona, 2022. "Does bank competition matter for the effects of macroprudential policy on the procyclicality of lending?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    53. Jorge Andrés Munoz Mendoza & Sandra María Sepúlveda-Yelpo & Carmen Lissette Veloso-Ramos & Carlos Leandro Delgado-Fuentealba, 2020. "Market Concentration and Income Diversification: Do They Always Promote the Financial Stability of Banking Industry?," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 12(2), pages 341-365, August.
    54. Ghulam, Yaseen, 2021. "Institutions and firms’ technological changes and productivity growth," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    55. Schulte, Markus & Winkler, Adalbert, 2019. "Drivers of solvency risk – Are microfinance institutions different?," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 403-426.
    56. João Amador & Ana Cristina Soares, 2018. "Competition in the Portuguese economy: insights from a profit elasticity approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(2), pages 339-365, May.
    57. Ion Lapteacru, 2016. "Murphy-Topel adjustment of the variance-covariance matrix of a two-step panel data model: Evidence from competition-fragility nexus in banking," Working Papers hal-01337726, HAL.
    58. Joseph Olorunfemi Akande & Farai Kwenda, 2017. "Competition and Stability of Sub-Saharan African Commercial Banks; a GMM Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 122-138, April.
    59. Elisabete Nogueira & Sofia Gomes & João M. Lopes, 2022. "The Key to Sustainable Economic Development: A Triple Bottom Line Approach," Resources, MDPI, vol. 11(5), pages 1-18, May.
    60. Mamonov, Mikhail, 2012. "The impact of market power of Russian banks on their credit risk tolerance: A panel study," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 85-112.
    61. Tabak, Benjamin M. & Gomes, Guilherme M.R. & da Silva Medeiros, Maurício, 2015. "The impact of market power at bank level in risk-taking: The Brazilian case," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 154-165.
    62. Cheng, Maoyong & Qu, Yang, 2023. "The false prosperity and promising future: Effects of data resources on bank efficiency," International Review of Financial Analysis, Elsevier, vol. 89(C).
    63. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
    64. Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.
    65. Silva, Thiago Christiano & Guerra, Solange Maria & Tabak, Benjamin Miranda & de Castro Miranda, Rodrigo Cesar, 2016. "Financial networks, bank efficiency and risk-taking," Journal of Financial Stability, Elsevier, vol. 25(C), pages 247-257.
    66. Siddharth Jain & Partha Gangopadhyay, 2020. "Impacts of Endogenous Sunk-Cost Investment on the Islamic Banking Industry: A Historical Analysis," JRFM, MDPI, vol. 13(6), pages 1-23, May.
    67. Nina Vujanović & Nikola Fabris, 2021. "Does market competition affect all banks equally? Empirical evidence on Montenegro," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 87-107.
    68. Jeon, Jin Q. & Lim, Kwang Kyu, 2013. "Bank competition and financial stability: A comparison of commercial banks and mutual savings banks in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 253-272.
    69. Mamonov, Mikhail, 2015. "Microeconomic modification of an industry-wide Boone indicator: Market power of Russian banks revisited," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 18-44.
    70. Shijaku, Gerti, 2016. "Does bank competition affect bank stability after the global financial crisis?," MPRA Paper 79084, University Library of Munich, Germany.
    71. Ely, Regis A. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "The transmission mechanisms of macroprudential policies on bank risk," Economic Modelling, Elsevier, vol. 94(C), pages 598-630.
    72. Fernando Avalos & Emmanuel C Mamatzakis, 2018. "Euro area unconventional monetary policy and bank resilience," BIS Working Papers 754, Bank for International Settlements.
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    122. Mohamed Albaity & Ray Saadaoui Mallek & Hussein A. Hassan Al‐Tamimi & Abu Hanifa Md. Noman, 2021. "Does competition lead to financial stability or financial fragility for Islamic and conventional banks? Evidence from the GCC countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4706-4722, July.
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  11. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.

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    3. Ricca, Federica & Scozzari, Andrea, 2024. "Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification," European Journal of Operational Research, Elsevier, vol. 312(2), pages 700-717.
    4. Ming Li & Wei Yu & Jun Zhang, 2023. "Clustering Analysis of Multilayer Complex Network of Nanjing Metro Based on Traffic Line and Passenger Flow Big Data," Sustainability, MDPI, vol. 15(12), pages 1-17, June.
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    6. Gian Paolo Clemente & Rosanna Grassi & Chiara Pederzoli, 2020. "Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 159-181, January.
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    8. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
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    11. Clemente, G.P. & Grassi, R., 2018. "Directed clustering in weighted networks: A new perspective," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 26-38.
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    16. Luu, Duc Thi & Lux, Thomas & Yanovski, Boyan, 2017. "Structural correlations in the Italian overnight money market: An analysis based on network configuration models," Economics Working Papers 2017-02, Christian-Albrechts-University of Kiel, Department of Economics.
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    32. Periklis Gogas & Theophilos Papadimitriou & Maria-Artemis Matthaiou, 2022. "Supervision of Banking Networks Using the Multivariate Threshold-Minimum Dominating Set (mT-MDS)," JRFM, MDPI, vol. 15(6), pages 1-13, June.
    33. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
    34. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
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    45. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    46. Li, Yuelei & Hao, Aiting & Zhang, Xiaotao & Xiong, Xiong, 2018. "Network topology and systemic risk in Peer-to-Peer lending market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 118-130.

  12. Ana Clara Bueno Teixeira Feitosa Noronha & Daniel Oliveira Cajueiro & Benjamin Miranda Tabak, 2011. "Bank Capital Buffers, Lending Growth Andeconomic Cycle: Empirical Evidence For Brazil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 035, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    Cited by:

    1. Faisal Abbas & Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2021. "Bank Capital Buffer and Economic Growth: New Insights from the US Banking Sector," JRFM, MDPI, vol. 14(4), pages 1-13, March.
    2. Romila Qamar & Shahid Mansoor Hashmi & Mughees Tahir Bhalli, 2016. "Are Basel Capital Standards Implemented Successfully in Pakistan?," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(62), pages 119-152, December.
    3. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018.
    4. Carvallo Valencia, Oscar & Ortiz Bolaños, Alberto, 2018. "Bank capital buffers around the world: Cyclical patterns and the effect of market power," Journal of Financial Stability, Elsevier, vol. 38(C), pages 119-131.
    5. Huang, Xian & Xiong, Qiyue, 2015. "Bank capital buffer decisions under macroeconomic fluctuations: Evidence for the banking industry of China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 30-39.
    6. Saadaoui Zied, 2015. "The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems," Review of Middle East Economics and Finance, De Gruyter, vol. 11(2), pages 145-182, August.
    7. José Américo Pereira Antunes & Claudio Oliveira De Moraes & Gabriel Caldas Montes, 2016. "Bank Regulatory Capital, Risk-Taking Channel And Monetary Policy: Evidence From An Inflation Targeting Emerging Economy," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 042, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    8. Tang, Ying & Li, Zhiyong & Chen, Jing & Deng, Chao, 2021. "Liquidity creation cyclicality, capital regulation and interbank credit: Evidence from Chinese commercial banks," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    9. Coffinet, Jérôme & Coudert, Virginie & Pop, Adrian & Pouvelle, Cyril, 2012. "Two-way interplays between capital buffers and credit growth: Evidence from French banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1110-1125.
    10. Johannes P S Sheefeni, 2022. "Bank Capital Buffers and Bank Risks: Evidence from the Namibian Banking Sector," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 60-68, December.
    11. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
    12. Karmakar, Sudipto & Mok, Junghwan, 2013. "Bank Capital and Lending: An Analysis of Commercial Banks in the United States," MPRA Paper 52173, University Library of Munich, Germany.
    13. Carvallo, Oscar & Kasman, Adnan, 2017. "Convergence in bank performance: Evidence from Latin American banking," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 127-142.
    14. Boutheina Bannour & Asma Sghaier & Mohammad Nurunnabi, 2020. "How to Choose a Nonparametric Frontier Model? Technical Efficiency of Turkish Banks Assessing Global," Global Business Review, International Management Institute, vol. 21(2), pages 348-364, April.
    15. Sine KONTBAY BUSUN & Adnan KASMAN, 2015. "A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(1), pages 1-7.
    16. Daher, Hassan & Masih, Mansur & Ibrahim, Mansor, 2015. "The unique risk exposures of Islamic banks’ capital buffers: A dynamic panel data analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 36-52.
    17. Khurram Iftikhar & Syed Faizan Iftikhar, 2018. "The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-20, December.
    18. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
    19. Alberto Montagnoli & Konstantinos Mouratidis & Kemar Whyte, 2018. "Assessing the Cyclical Behaviour of Bank Capital Buyers in a Finance-Augmented Macro-Economy," Working Papers 2018003, The University of Sheffield, Department of Economics.
    20. Samina RIAZ & Venus Khim-Sen LIEW & Rossazana Bt Ab RAHIM, 2019. "The Impact of Business Cycle on Pakistani Banks Capital Buffer and Portfolio Risk," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 57-71, March.
    21. Mohamed Trabelsi & Ibrahim Elbadawi & Dhuha Fadhel, 2015. "Bank's Capital Buffers and Business Cycle: Evidence from GCC Countries. 2004-2011," Working Papers 925, Economic Research Forum, revised Jul 2015.
    22. Gabriel Barros Tavares Peixoto & Gabriel Caldas Montes, 2014. "Risk-Taking Channel, Bank Lendingchannel And The “Paradox Of Credibility”: Empirical Evidence For Brazil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    23. Fernando da Silva Vinhado & José Angelo Divino, 2015. "Monetary and Macroprudential Policies: Empirical Evidences from Panel-VAR," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 691-731.
    24. Montes, Gabriel Caldas & Peixoto, Gabriel Barros Tavares, 2014. "Risk-taking channel, bank lending channel and the “paradox of credibility”," Economic Modelling, Elsevier, vol. 39(C), pages 82-94.
    25. de Moraes, Claudio Oliveira & Montes, Gabriel Caldas & Antunes, José Américo Pereira, 2016. "How does capital regulation react to monetary policy? New evidence on the risk-taking channel," Economic Modelling, Elsevier, vol. 56(C), pages 177-186.
    26. Daher, Hassan & Masih, A.Mansur M. & Ibrahim, Mansor H., 2014. "Islamic Banks’ Capital Buffers: Unique Risk Exposures and the Disciplining Effects of Charter Values," MPRA Paper 56947, University Library of Munich, Germany.

  13. Benjamin M. Tabak & Giovana L. Craveir & Daniel O. Cajueiro, 2011. "Bank Efficiency and Default in Brazil: Causality Tests," Working Papers Series 253, Central Bank of Brazil, Research Department.

    Cited by:

    1. Sarmiento Paipilla, N.M. & Galán, Jorge E., 2015. "The Influence of Risk-taking on Bank Efficiency : Evidence from Colombia," Other publications TiSEM f7a73cdb-55a2-40d3-936f-7, Tilburg University, School of Economics and Management.
    2. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    3. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
    4. Jeon, Bang Nam & Wu, Ji & Chen, Limei & Chen, Minghua, 2020. "Diversification, efficiency and risk of banks: New consolidating evidence from emerging economies," School of Economics Working Paper Series 2020-10, LeBow College of Business, Drexel University.
    5. Sarmiento, Miguel & Galán, Jorge E., 2014. "Heterogeneous effects of risk-taking on bank efficiency : a stochastic frontier model with random coefficients," DES - Working Papers. Statistics and Econometrics. WS ws142013, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.
    7. Alexander Karminsky & Alexander Kostrov, 2014. "The probability of default in Russian banking," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 81-98, June.
    8. Alexander Karminsky & Alexander Kostrov & Taras Murzenkov, 2012. "Comparison of default probability models: Russian experience," HSE Working papers WP BRP 06/FE/2012, National Research University Higher School of Economics.
    9. Chepngenoh, Florence & Muriu, Peter W & Institute of Research, Asian, 2020. "Does Risk-Taking Behaviour Matter for Bank Efficiency?," OSF Preprints n7r2c, Center for Open Science.
    10. Karminsky, A. & Kostrov, A., 2013. "Modeling the Default Probabilities of Russian Banks: Extended Abillities," Journal of the New Economic Association, New Economic Association, vol. 17(1), pages 64-86.

  14. Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2011. "Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship," Working Papers Series 244, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    2. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    3. Cavallo, Eduardo A. & Serebrisky, Tomás & Frisancho, Verónica & Karver, Jonathan & Powell, Andrew & Margot, Diego & Suárez-Alemán, Ancor & Fernández-Arias, Eduardo & Marzani, Matías & Berstein, Solang, 2016. "Saving for Development: How Latin America and the Caribbean Can Save More and Better," IDB Publications (Books), Inter-American Development Bank, number 7677.
    4. Cândida Ferreira, 2012. "Bank market concentration and efficiency in the European Union: a panel granger causality approach," Working Papers Department of Economics 2012/03, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    5. Luo, Yun & Tanna, Sailesh & De Vita, Glauco, 2016. "Financial openness, risk and bank efficiency: Cross-country evidence," Journal of Financial Stability, Elsevier, vol. 24(C), pages 132-148.
    6. Kofi Adjei-Frimpong & Christopher Gan & Baiding Hu, 2014. "Cost Efficiency of Ghana's Banking Industry: A Panel Data Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(2), pages 69-86.

  15. Benjamin M. Tabak & Daniel O. Cajueiro & A. Luduvice, 2011. "Modeling Default Probabilities: the case of Brazil," Working Papers Series 232, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    2. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    3. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
    4. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    5. Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series 12-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
    6. Barros, Carlos Pestana & Wanke, Peter, 2014. "Banking efficiency in Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 54-65.
    7. Umar, Muhammad & Ji, Xiangfeng & Mirza, Nawazish & Rahat, Birjees, 2021. "The impact of resource curse on banking efficiency: Evidence from twelve oil producing countries," Resources Policy, Elsevier, vol. 72(C).
    8. Barbi, A.Q. & Prataviera, G.A., 2019. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 876-885.

  16. Benjamin M. Tabak & Daniel O. Cajueiro & Dimas M. Fazio, 2010. "Financial Fragility in a General Equilibrium Model: the Brazilian case," Working Papers Series 229, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    2. Thomas F. Coleman & Alex LaPlante & Alexey Rubtsov, 2018. "Analysis of the SRISK measure and its application to the Canadian banking and insurance industries," Annals of Finance, Springer, vol. 14(4), pages 547-570, November.
    3. Ondřej Machek & Luboš Smrčka, 2015. "An updated Model of Financial Fragility based on General Equilibrium Analysis [Aktualizace modelu finanční křehkosti založeného na analýze všeobecné rovnováhy]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2015(4), pages 23-42.
    4. Conrad F. J. Beyers & Allan Freitas & Kojo A. Essel-Mensah & Reyno Seymore & Dimitrios P. Tsomocos, 2020. "A computable general equilibrium model for banking sector risk assessment in South Africa," Annals of Finance, Springer, vol. 16(2), pages 195-218, June.
    5. Frederik J.C. Beyers & Allan De Freitas & Kojo A. Essel‐Mensah & Reyno Seymore & Dimitrios P. Tsomocos, 2022. "A computable general equilibrium model as a banking sector regulatory tool in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 90(1), pages 93-120, March.

  17. Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2010. "The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk," Working Papers Series 215, Central Bank of Brazil, Research Department.

    Cited by:

    1. Florian Leon, 2017. "Implications of loan portfolio concentration in Cambodia," Economics Bulletin, AccessEcon, vol. 37(1), pages 282-296.
    2. Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013. "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers 53/2013, Deutsche Bundesbank.
    3. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    4. Šeho, Mirzet & Shaiban, Mohammed Sharaf Mohsen & Ghafoor, Abdul, 2023. "Loan and financing diversification and bank stability in dual-banking systems," Finance Research Letters, Elsevier, vol. 51(C).
    5. Baah Aye Kusi & Lydia Adzobu & Alex Kwame Abasi & Kwadjo Ansah-Adu, 2020. "Sectoral Loan Portfolio Concentration and Bank Stability: Evidence from an Emerging Economy," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(1), pages 66-99, April.
    6. Šeho, Mirzet & Ibrahim, Mansor H. & Mirakhor, Abbas, 2021. "Does sectoral diversification of loans and financing improve bank returns and risk in dual-banking systems?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    7. Rao, Pingui & Yue, Heng & Zhu, Jigao, 2015. "An investigation of credit borrower concentration," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 208-221.
    8. Oguzhan Ece & Bulent Diclehan Cadirci, 2022. "The Effect of Loan Portfolio Concentration Level on Financial Stability and Performance: A Comparatıve Analysis in Dual Banking System," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(2), pages 523-556, July.
    9. Kristian S. Blickle & Cecilia Parlatore & Anthony Saunders, 2021. "Specialization in Banking," Staff Reports 967, Federal Reserve Bank of New York.
    10. Atahau, Apriani Dorkas Rambu & Cronje, Tom, 2020. "Bank lending: The bank ownership focus in the pre- and post-global financial crisis periods," Economic Systems, Elsevier, vol. 44(4).
    11. Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
    12. Karakaya, Neslihan & Michalski, Tomasz K. & Örs, Evren, 2022. "Banking integration and growth: Role of banks' previous industry exposure," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    13. Mircea Epure & Esteban Lafuente, 2015. "Monitoring bank performance in the presence of risk," Journal of Productivity Analysis, Springer, vol. 44(3), pages 265-281, December.
    14. Jyh-Horng Lin & Pei-Chi Lii & Fu-Wei Huang & Shi Chen, 2019. "Cross-Border Lending, Government Capital Injection, and Bank Performance," IJFS, MDPI, vol. 7(2), pages 1-20, April.
    15. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    16. Fricke, Daniel & Roukny, Tarik, 2020. "Generalists and specialists in the credit market," LSE Research Online Documents on Economics 87749, London School of Economics and Political Science, LSE Library.
    17. Di, Wenhua & Pattison, Nathaniel, 2023. "Industry Specialization and Small Business Lending," Journal of Banking & Finance, Elsevier, vol. 149(C).
    18. Syed Moudud-Ul-Huq, 2021. "The Impact of Business Cycle on Banks’ Capital Buffer, Risk and Efficiency: A Dynamic GMM Approach from a Developing Economy," Global Business Review, International Management Institute, vol. 22(4), pages 921-940, August.
    19. Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2020. "Some Borrowers Are More Equal than Others: Bank Funding Shocks and Credit Reallocation [A theory of systemic risk and design of prudential bank regulation]," Review of Finance, European Finance Association, vol. 24(1), pages 1-43.
    20. Nguyen, Thi Lam Anh, 2018. "Diversification and bank efficiency in six ASEAN countries," Global Finance Journal, Elsevier, vol. 37(C), pages 57-78.
    21. Dursun-de Neef, H. Özlem, 2023. "Bank specialization, mortgage lending and house prices," Journal of Banking & Finance, Elsevier, vol. 151(C).
    22. Brent Ambrose & Michael Shafer & Yildiray Yildirim, 2018. "The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 1-32, January.
    23. Tabak, Benjamin M. & Gomes, Guilherme M.R. & da Silva Medeiros, Maurício, 2015. "The impact of market power at bank level in risk-taking: The Brazilian case," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 154-165.
    24. Mimoza Shabani & Carmela D'Avino, 2020. "A new approach to measuring universal banking," Bulletin of Economic Research, Wiley Blackwell, vol. 72(4), pages 353-379, October.
    25. Michael Brei & Carlos Winograd, 2012. "Foreign banks, corporate strategy and financial stability: lessons from the river plate," Working Papers halshs-00703738, HAL.
    26. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2013. "Systemically important banks and financial stability: The case of Latin America," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3855-3866.
    27. Thiago Christiano Silva & Benjamin Miranda Tabak & Marcela Tetzner Laiz, 2019. "The Finance-Growth Nexus: the role of banks," Working Papers Series 506, Central Bank of Brazil, Research Department.
    28. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
    29. Minzhi Wu & Emili Tortosa-Ausina, 2020. "Bank Diversification and Focus in Disruptive Times: China, 2007–2018," Working Papers 2020/21, Economics Department, Universitat Jaume I, Castellón (Spain).
    30. Mathur, Ike & Marcelin, Isaac, 2015. "Institutional failure or market failure?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 266-280.
    31. Tsangyao Chang & Chin-Chih Chen, 2017. "The Impact of Bank Size on Profit Stability in China," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-4.
    32. Berger, Philip G. & Minnis, Michael & Sutherland, Andrew, 2017. "Commercial lending concentration and bank expertise: Evidence from borrower financial statements," Journal of Accounting and Economics, Elsevier, vol. 64(2), pages 253-277.
    33. Huynh, Japan & Dang, Van Dan, 2022. "Exploring the asymmetric effects of loan portfolio diversification on bank profitability," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    34. Beck, Thorsten & De Jonghe, Olivier, 2013. "Lending concentration, bank performance and systemic risk : exploring cross-country variation," Policy Research Working Paper Series 6604, The World Bank.
    35. Michael Brei & Carlos Winograd, 2012. "Foreign banks, corporate strategy and financial stability: lessons from the river plate," PSE Working Papers halshs-00703738, HAL.
    36. Nadya Jahn & Christoph Memmel & Andreas Pfingsten, 2016. "Banks’ Specialization versus Diversification in the Loan Portfolio," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(1), pages 25-48, April.
    37. Thiago Christiano Silva & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2016. "Modeling Financial Networks: a feedback approach," Working Papers Series 438, Central Bank of Brazil, Research Department.
    38. Jonathan Mwau Mulwa, 2018. "Sectoral credit diversification, bank performance and monitoring effectiveness; a cross-country analysis of east African banking industries," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(2), pages 1-2.
    39. Nadia Nadira Mohd Norsiman & Noor Azuddin Yakob & Carl B. McGowan, Jr, 2019. "The Effect of Portfolio Diversification for the Bursa Malaysia," Accounting and Finance Research, Sciedu Press, vol. 8(4), pages 1-76, November.
    40. Francis, Bill B. & Hasan, Iftekhar & Küllü, A. Melih & Zhou, Mingming, 2018. "Should banks diversify or focus? Know thyself: The role of abilities," Economic Systems, Elsevier, vol. 42(1), pages 106-118.
    41. Benjamin Tabak & Daniel Cajueiro & Dimas Fazio, 2013. "Financial fragility in a general equilibrium model: the Brazilian case," Annals of Finance, Springer, vol. 9(3), pages 519-541, August.
    42. Hoxha, Indrit, 2013. "The market structure of the banking sector and financially dependent manufacturing sectors," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 432-444.
    43. Wang, Wei & Huang, Jun & Wang, Haibo & Alidaee, Bahram, 2022. "Internal and external analysis of community banks' performance," International Review of Financial Analysis, Elsevier, vol. 84(C).
    44. Harimaya, Kozo & Ozaki, Yasufumi, 2021. "Effects of diversification on bank efficiency: Evidence from Shinkin banks in Japan," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 700-717.
    45. de Haan, Jakob & Poghosyan, Tigran, 2012. "Size and earnings volatility of US bank holding companies," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3008-3016.
    46. Thorsten Beck & Olivier De Jonghe & Klaas Mulier, 2022. "Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1705-1739, September.
    47. Line Drapeau & Claudia Champagne, 2015. "Do Syndicated Loans Influence Systemic Risk? An Empirical Analysis of the Canadian Syndicated Loan Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 22-41, November.
    48. Firoozi, Fathali & Lien, Donald, 2022. "Models of optimal contract in lending: Evaluating the impact of diversified versus focused policies on riskiness of borrower base," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    49. Syed Moudud-Ul-Huq, 2019. "Banks’ capital buffers, risk, and efficiency in emerging economies: are they counter-cyclical?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(4), pages 467-492, December.
    50. Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017. "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers 12009, C.E.P.R. Discussion Papers.

  18. Benjamin M. Tabak & Giovana L. Craveiro & Daniel O. Cajueiro, 2010. "Eficiência Bancária e Inadimplência: Testes de Causalidade," Working Papers Series 220, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.

  19. Daniel Oliveira Cajueiro & Benjamin M. Tabak, 2010. "Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy," Working Papers Series 206, Central Bank of Brazil, Research Department.

    Cited by:

    1. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    2. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    3. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
    4. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    5. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    6. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    7. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    8. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    9. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
    10. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    11. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    12. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    13. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.

  20. Benjamin M. Tabak & Marcela T. Laiz & Daniel O. Cajueiro, 2010. "Financial Stability and Monetary Policy - The Case of Brazil," Working Papers Series 217, Central Bank of Brazil, Research Department.

    Cited by:

    1. Christian Hott & Dr. Terhi Jokipii, 2012. "Housing Bubbles and Interest Rates," Working Papers 2012-07, Swiss National Bank.
    2. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    3. Claudio Oliveira De Moraes & José Americo Pereira Antunes & Adriano Rodrigues, 2019. "Financial intermediation analysis from financial flows," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(3), pages 727-747, August.
    4. de Moraes, Claudio Oliveira & de Mendonça, Helder Ferreira, 2019. "Bank’s risk measures and monetary policy: Evidence from a large emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 121-132.
    5. José Américo Pereira Antunes & Claudio Oliveira De Moraes & Gabriel Caldas Montes, 2016. "Bank Regulatory Capital, Risk-Taking Channel And Monetary Policy: Evidence From An Inflation Targeting Emerging Economy," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 042, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    6. Carrera, César, 2011. "El canal del crédito bancario en el Perú: Evidencia y mecanismo de transmisión," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 63-82.
    7. Emiliano Luttini & Michael Pedersen, 2015. "Bank's Price Setting and Lending Maturity: Evidence from an Inflation- Targeting Economy," Working Papers Central Bank of Chile 762, Central Bank of Chile.
    8. Ekin Ayse Ozsuca & Elif Akbostanci, 2012. "An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey," ERC Working Papers 1208, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    9. Nguyen, Vu Hong Thai & Boateng, Agyenim, 2015. "An analysis of involuntary excess reserves, monetary policy and risk-taking behaviour of Chinese Banks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 63-72.
    10. Sandrine Lecarpentier & Olivier de Bandt & Cyril Pouvelle, 2019. "Determinants of banks' liquidity : a French perspective on market and regulatory ratio interactions," Working Papers hal-04141861, HAL.
    11. de Mendonça, Helder Ferreira & de Moraes, Claudio Oliveira, 2018. "Central bank disclosure as a macroprudential tool for financial stability," Economic Systems, Elsevier, vol. 42(4), pages 625-636.
    12. Stefan Behrendt, 2016. "Taking Stock - Credit Measures in Monetary Transmission," Jena Economics Research Papers 2016-002, Friedrich-Schiller-University Jena.
    13. Barbi, Fernando C., 2014. "Determinants of Credit Expansion in Brazil," MPRA Paper 19535, University Library of Munich, Germany, revised 13 Sep 2014.
    14. Olivier de Bandt & Sandrine Lecarpentier & Cyril Pouvelle, 2020. "Determinants of Banks’ Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements [Les déterminants de la liquidité bancaire : une perspective française sur les inte," Débats économiques et financiers 35, Banque de France.
    15. Gabriel Barros Tavares Peixoto & Gabriel Caldas Montes, 2014. "Risk-Taking Channel, Bank Lendingchannel And The “Paradox Of Credibility”: Empirical Evidence For Brazil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    16. Gabriel Caldas Montes & José Américo Pereira Antunes & Alexei Ferreira Araújo, 2021. "Effects of monetary policy and credibility on financial intermediation: evidence from the Brazilian banking sector," Empirical Economics, Springer, vol. 60(3), pages 1191-1219, March.
    17. Bholat, David & Lastra, Rosa & Markose, Sheri & Miglionico, Andrea & Sen, Kallol, 2016. "Non-performing loans: regulatory and accounting treatments of assets," Bank of England working papers 594, Bank of England.
    18. Zia Abbas & Syed Faizan Iftikhar & Shaista Alam, 2019. "Does bank capital affect the monetary policy transmission mechanism? A case study of Emerging Market Economies (EMEs)," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-20, June.
    19. Thai V. H. Nguyen & Agyenim Boateng & Tra Thi Thu Pham, 2019. "Involuntary excess reserve and heterogeneous transmission of policy rates to bank lending rates in China," Empirical Economics, Springer, vol. 57(3), pages 1023-1044, September.
    20. Montes, Gabriel Caldas & Peixoto, Gabriel Barros Tavares, 2014. "Risk-taking channel, bank lending channel and the “paradox of credibility”," Economic Modelling, Elsevier, vol. 39(C), pages 82-94.
    21. de Moraes, Claudio Oliveira & Montes, Gabriel Caldas & Antunes, José Américo Pereira, 2016. "How does capital regulation react to monetary policy? New evidence on the risk-taking channel," Economic Modelling, Elsevier, vol. 56(C), pages 177-186.
    22. Nguyen, Vu Hong Thai & Boateng, Agyenim, 2013. "The impact of excess reserves beyond precautionary levels on Bank Lending Channels in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 358-377.

  21. Daniel O. Cajueiro & Jose A. Divino & Benjamin M. Tabak, 2009. "Forecasting the Yield Curve for Brazil," Working Papers Series 197, Central Bank of Brazil, Research Department.

    Cited by:

    1. Joao Frois Caldeira & Guilherme Valle Moura & Marcelo Savino Portugal, 2011. "Efficient Interest Ratecurve Estimation And Forecasting In Brazil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 133, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.

  22. Sergio Rubens Stancato de Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2007. "Long-Range Dependence in Exchange Rates: the case of the European Monetary System," Working Papers Series 131, Central Bank of Brazil, Research Department.

    Cited by:

    1. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    2. Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
    3. Matthieu Garcin, 2019. "Hurst Exponents And Delampertized Fractional Brownian Motions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-26, August.
    4. Erhard Reschenhofer & Manveer K. Mangat, 2020. "Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data," Econometrics, MDPI, vol. 8(4), pages 1-15, October.
    5. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    6. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    7. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    8. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
    9. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    10. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    11. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    12. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.
    13. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    14. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    15. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    16. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
    17. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    18. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    19. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
    20. Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018. "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, vol. 75(C), pages 573-582.
    21. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
    22. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    23. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    24. Ruan, Qingsong & Jiang, Wei & Ma, Guofeng, 2016. "Cross-correlations between price and volume in Chinese gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 10-22.
    25. Maganini, Natália Diniz & Da Silva Filho, Antônio Carlos & Lima, Fabiano Guasti, 2018. "Investigation of multifractality in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 258-271.
    26. Auer, Benjamin R. & Hoffmann, Andreas, 2016. "Do carry trade returns show signs of long memory?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 201-208.

  23. Daniel O. Cajueiro & Benjamin M. Tabak, 2007. "The role of banks in the Brazilian Interbank Market: Does bank type matter?," Working Papers Series 130, Central Bank of Brazil, Research Department.

    Cited by:

    1. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak, 2016. "Structure and Dynamics of the Global Financial Network," Working Papers Series 439, Central Bank of Brazil, Research Department.
    2. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    3. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    4. Co-Pierre Georg & Stefano Battiston & Tarik Roukny, 2014. "A Network Analysis of the Evolution of the German Interbank Market," Working Papers 461, Economic Research Southern Africa.
    5. Song, Jae Wook & Ko, Bonggyun & Cho, Poongjin & Chang, Woojin, 2016. "Time-varying causal network of the Korean financial system based on firm-specific risk premiums," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 287-302.
    6. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 14287, Universidad del Rosario.
    7. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Cesar de Castro Miranda, 2014. "Do Interconnections Matter for Bank Efficiency?," Working Papers Series 374, Central Bank of Brazil, Research Department.
    8. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    9. Bech, Morten L. & Atalay, Enghin, 2008. "The topology of the federal funds market," Working Paper Series 986, European Central Bank.
    10. Constantino, Michel & Candido, Osvaldo & Tabak, Benjamin M. & da Costa, Reginaldo Brito, 2017. "Modeling stochastic frontier based on vine copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 595-609.
    11. Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
    12. Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt, 2015. "A simple agent-based spatial model of the economy: tools for policy," Papers 1510.04967, arXiv.org, revised Oct 2016.
    13. Stefania Vitali & Stefano Battiston & Mauro Gallegati, "undated". "Financial fragility and distress propagation in a network of regions," Working Papers ETH-RC-12-016, ETH Zurich, Chair of Systems Design.
    14. Krause, Andreas & Giansante, Simone, 2012. "Interbank lending and the spread of bank failures: A network model of systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 583-608.
    15. Benjamin Vandermarliere & Alexei Karas & Jan Ryckebusch & Koen Schoors, 2014. "Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks," Papers 1409.3738, arXiv.org, revised Jan 2015.
    16. León, C., 2015. "Financial stability from a network perspective," Other publications TiSEM bb2e4e44-e842-45c6-a946-4, Tilburg University, School of Economics and Management.
    17. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    18. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
    19. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    20. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.
    21. Stefania Vitali & Stefano Battiston, 2013. "The Community Structure of the Global Corporate Network," Papers 1301.2363, arXiv.org.
    22. Thiago Christiano Silva & Solange Maria Guerra & Benjamin Miranda Tabak, 2019. "Fiscal Risk and Financial Fragility," Working Papers Series 495, Central Bank of Brazil, Research Department.
    23. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang & Uryasev, Stan, 2016. "A financial network perspective of financial institutions’ systemic risk contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 183-196.
    24. Sensoy, Ahmet & Tabak, Benjamin M., 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
    25. Pedro Elosegui & Federico Forte & Gabriel Montes-Rojas, 2022. "Network Structure and Fragmentation of the Argentinean Interbank Markets," Working Papers 129, Red Nacional de Investigadores en Economía (RedNIE).
    26. Zhou, Yaoming & Wang, Junwei, 2018. "Efficiency of complex networks under failures and attacks: A percolation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 658-664.
    27. Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
    28. Martínez, Constanza & León, Carlos, 2016. "The cost of collateralized borrowing in the Colombian money market: Does connectedness matter?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 193-205.
    29. Julian Caballero, 2012. "Banking Crises and Financial Integration," Research Department Publications 4816, Inter-American Development Bank, Research Department.
    30. Antonakakis, Nikolaos & Gogas, Periklis & Papadimitriou, Theophilos & Sarantitis, Georgios Antonios, 2016. "International business cycle synchronization since the 1870s: Evidence from a novel network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 286-296.
    31. Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016. "Network structure analysis of the Brazilian interbank market," Emerging Markets Review, Elsevier, vol. 26(C), pages 130-152.
    32. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
    33. Periklis Gogas & Rangan Gupta & Stephen M. Miller & Theophilos Papadimitriou & Georgios Antonios Sarantitis, 2015. "Income Inequality: A State-by-State Complex Network Analysis," Working Papers 201534, University of Pretoria, Department of Economics.
    34. Gogas, Periklis & Gupta, Rangan & Miller, Stephen M. & Papadimitriou, Theophilos & Sarantitis, Georgios Antonios, 2017. "Income inequality: A complex network analysis of US states," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 423-437.
    35. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Bank of Finland Research Discussion Papers 19/2013, Bank of Finland.
    36. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    37. Fernando Linardi & Cees Diks & Marco van der Leij & Iuri Lazier, 2018. "Dynamic Interbank Network Analysis Using Latent Space Models," Working Papers Series 487, Central Bank of Brazil, Research Department.
    38. Cajueiro, Daniel O., 2010. "Optimal navigation for characterizing the role of the nodes in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1945-1954.
    39. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
    40. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak, 2013. "Contagion Risk within Firm-Bank Bivariate Networks," Working Papers Series 322, Central Bank of Brazil, Research Department.
    41. Kim, Minjung & Kim, Beom Jun, 2022. "Defense strategies against cascading failures in networks: “Too-big-to-fail” and “too-small-to-fail”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
    42. Michele Manna & Carmela Iazzetta, 2009. "The topology of the interbank market: developments in Italy since 1990," Temi di discussione (Economic working papers) 711, Bank of Italy, Economic Research and International Relations Area.
    43. Thiago Christiano Silva & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2017. "Systemic Risk in Financial Systems: a feedback approach," Working Papers Series 461, Central Bank of Brazil, Research Department.
    44. Sokolov, Andrey & Webster, Rachel & Melatos, Andrew & Kieu, Tien, 2012. "Loan and nonloan flows in the Australian interbank network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2867-2882.
    45. Edson Bastos Santos & Rama Cont, 2010. "The Brazilian Interbank Network Structure and Systemic Risk," Working Papers Series 219, Central Bank of Brazil, Research Department.
    46. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
    47. Fuad Aleskerov & Irina Andrievskaya & Elena Permjakova, 2014. "Key Borrowers Detected By The Intensities Of Their Short-range Interactions," HSE Working papers WP BRP 33/FE/2014, National Research University Higher School of Economics.
    48. Carlos Castro & Juan Sebastian Ordonez, 2012. "A Network model of systemic risk: identifying the sources of dependence across institutions," Documentos de Trabajo 9651, Universidad del Rosario.
    49. Furtado, Bernardo Alves & Eberhardt, Isaque Daniel Rocha, 2015. "Modelo espacial simples da economia: uma proposta teórico-metodológica [A simple spatial economic model: a proposal]," MPRA Paper 67005, University Library of Munich, Germany.
    50. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    51. Xu, Tao & He, Jianmin & Li, Shouwei, 2016. "A dynamic network model for interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 131-138.
    52. Nadine Walters & Gusti Van Zyl & Conrad Beyers, 2019. "Financial Contagion In Large, Inhomogeneous Stochastic Interbank Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.

  24. Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak & Daniel O. Cajueiro, 2006. "Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil," Working Papers Series 113, Central Bank of Brazil, Research Department.

    Cited by:

    1. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    2. Flávia Mourão Graminho, 2006. "A Neoclassical Analysis of the Brazilian "Lost-Decades"," Working Papers Series 123, Central Bank of Brazil, Research Department.
    3. Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
    4. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    5. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    6. Benjamin M. Tabak, 2006. "The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil," Working Papers Series 124, Central Bank of Brazil, Research Department.
    7. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    8. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    9. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
    10. Marta Areosa & Waldyr Areosa, 2006. "The Inequality Channel of Monetary Transmission," Working Papers Series 114, Central Bank of Brazil, Research Department.
    11. Jaqueline Terra Moura Marins & Eduardo Saliby & Joséte Florencio do Santos, 2006. "Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling," Working Papers Series 116, Central Bank of Brazil, Research Department.
    12. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    13. de Area Leão Pereira, Eder Johnson & da Silva, Marcus Fernandes & Pereira, H.B.B., 2017. "Econophysics: Past and present," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 251-261.
    14. de Souza Ramser, Claudia Aline & Souza, Adriano Mendonça & Souza, Francisca Mendonça & da Veiga, Claudimar Pereira & da Silva, Wesley Vieira, 2019. "The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy," Resources Policy, Elsevier, vol. 62(C), pages 9-21.

  25. Daniel O. Cajueiro & Benjamin M. Tabak, 2006. "Econophysics of interest rates and the role of monetary policy," Papers physics/0607246, arXiv.org.

    Cited by:

    1. Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(612), A), pages 71-82, Autumn.
    2. Zhu, Yanli & Chen, Haiqiang, 2017. "The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 522-535.

  26. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Li Meng & Mei Wang, 2010. "Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 99-111, June.
    2. Potgieter, Petrus H., 2009. "Fractal asset returns, arbitrage and option pricing," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1792-1795.

Articles

  1. Silveira, Douglas & Vasconcelos, Silvinha & Resende, Marcelo & Cajueiro, Daniel O., 2022. "Won’t Get Fooled Again: A supervised machine learning approach for screening gasoline cartels," Energy Economics, Elsevier, vol. 105(C).
    See citations under working paper version above.
  2. Fazio, Dimas Mateus & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Cajueiro, Daniel Oliveira, 2018. "Inflation targeting and financial stability: Does the quality of institutions matter?," Economic Modelling, Elsevier, vol. 71(C), pages 1-15.
    See citations under working paper version above.
  3. Silva, Thiago Christiano & Tabak, Benjamin Miranda & Cajueiro, Daniel Oliveira & Dias, Marina Villas Boas, 2018. "Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1016-1025.
    See citations under working paper version above.
  4. Silva, Sergio H.R. da & Tabak, Benjamin M. & Cajueiro, Daniel O. & Fazio, Dimas M., 2017. "Economic growth, volatility and their interaction: What’s the role of finance?," Economic Systems, Elsevier, vol. 41(3), pages 433-444.
    See citations under working paper version above.
  5. Silva, Thiago Christiano & Tabak, Benjamin Miranda & Cajueiro, Daniel Oliveira & Dias, Marina Villas Boas, 2017. "A comparison of DEA and SFA using micro- and macro-level perspectives: Efficiency of Chinese local banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 216-223.

    Cited by:

    1. Michaela Staňková, 2020. "Efficiency Comparison and Efficiency Development of the Metallurgical Industry in the EU: Parametric and Non-parametric Approaches," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 68(4), pages 765-774.
    2. Chen, Zhongfei & Wanke, Peter & Tsionas, Mike G., 2018. "Assessing the strategic fit of potential M&As in Chinese banking: A novel Bayesian stochastic frontier approach," Economic Modelling, Elsevier, vol. 73(C), pages 254-263.
    3. Ikram, Majid & Rafique, Muhammad Zahid & Mohammed, Kamel Si & Waheed, Rida & Ferraz, Diogo, 2023. "Efficient resource utilization of the electricity distribution sector using nonparametric data envelopment analysis and influential factors," Utilities Policy, Elsevier, vol. 82(C).
    4. Zhong, Mei-Rui & Xiao, Shun-Li & Zou, Han & Zhang, Yi-Jun & Song, Yi, 2021. "The effects of technical change on carbon intensity in China’s non-ferrous metal industry," Resources Policy, Elsevier, vol. 73(C).
    5. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    6. Reindolph Osei Anim & Newman Amaning & Joyce Ama Quartey & Patrick Twumasi Frimpong, 2021. "Exploring the impact of Corporate Social Responsibility on the Financial Performance of Rural and Community Banks in Ghana," International Business Research, Canadian Center of Science and Education, vol. 14(2), pages 1-37, February.
    7. Constantino, Michel & Candido, Osvaldo & Tabak, Benjamin M. & da Costa, Reginaldo Brito, 2017. "Modeling stochastic frontier based on vine copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 595-609.
    8. Benjamin Miranda Tabak & Thiago Christiano Silva & Ahmet Sensoy, 2019. "Financial Networks 2019," Complexity, Hindawi, vol. 2019, pages 1-2, December.
    9. Bingbing Shen & Aleksandr Aleksandrovich Perfilev & Lidiya Pavlovna Bufetova & Xueyan Li, 2023. "Bank Profitability Analysis in China: Stochastic Frontier Approach," JRFM, MDPI, vol. 16(4), pages 1-20, April.
    10. Song, Yi & Ruan, Shengzhe & Cheng, Jinhua & Zhang, Yijun, 2023. "Technological change in critical metallic mineral sub-sectors and its impacts on mineral supply: Evidence from China," Resources Policy, Elsevier, vol. 85(PA).
    11. Mattsson, Pontus & Tidanå, Claes, 2019. "Potential efficiency effects of merging the Swedish district courts," Socio-Economic Planning Sciences, Elsevier, vol. 67(C), pages 58-68.
    12. VikniswariVija Kumaran* & Yew Yao Xi & Fan Sui Feng & Ho Xiao Jin & MakKah Weng & Teh Chun Pin & Shelena Soosay Nathan, 2018. "Measuring the Technical Efficiency of Oceania Continent Airports: Does Workload Unit Matters?," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 1120-1124:6.
    13. Eric Fosu Oteng-Abayie, 2017. "Technical efficiency and total factor productivity of rural banks in Ghana," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1366088-136, January.
    14. Walker, Nathan L. & Styles, David & Williams, A. Prysor, 2023. "Water sector resilience in the United Kingdom and Ireland: The COVID-19 challenge," Utilities Policy, Elsevier, vol. 82(C).
    15. Pingfan Song & Yunzhi Chen & Zhixiang Zhou & Huaqing Wu, 2018. "Performance Analysis of Peer-to-Peer Online Lending Platforms in China," Sustainability, MDPI, vol. 10(9), pages 1-15, August.
    16. Jianxu Liu & Mengjiao Wang & Ji Ma & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "A Simultaneous Stochastic Frontier Model with Dependent Error Components and Dependent Composite Errors: An Application to Chinese Banking Industry," Mathematics, MDPI, vol. 8(2), pages 1-23, February.
    17. Zhicheng Lai & Lei Li & Zhuomin Tao & Tao Li & Xiaoting Shi & Jialing Li & Xin Li, 2023. "Spatio-Temporal Evolution and Influencing Factors of Ecological Well-Being Performance from the Perspective of Strong Sustainability: A Case Study of the Three Gorges Reservoir Area, China," IJERPH, MDPI, vol. 20(3), pages 1-25, January.
    18. Stephen Zamore & Leif Atle Beisland & Roy Mersland, 2023. "Excessive focus on risk? Non‐performing loans and efficiency of microfinance institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1290-1307, April.
    19. Bresciani, Stefano & Puertas, Rosa & Ferraris, Alberto & Santoro, Gabriele, 2021. "Innovation, environmental sustainability and economic development: DEA-Bootstrap and multilevel analysis to compare two regions," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
    20. Ikram Ullah Khan & Sadaqat Ali & Habib Nawaz Khan, 2018. "Market Concentration, Risk-taking, and Efficiency of Commercial Banks in Pakistan: An Application of the Two-Stage Double Bootstrap DEA," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(2), pages 65-96, June.
    21. Huma Neupane & Krishna P. Paudel & Mandeep Adhikari & Qinying He, 2022. "Impact of cooperative membership on production efficiency of smallholder goat farmers in Nepal," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(2), pages 337-356, June.
    22. Silva, Thiago Christiano & Coelho, Florângela Cunha & Ehrl, Philipp & Tabak, Benjamin Miranda, 2020. "Internet access in recessionary periods: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    23. Ferdian Timur Satyagraha & Rudi Purwono & Dyah Wulan Sari, 2022. "An Analysis of the Performance of Regional Development Banks (RDB) in Indonesia: Stochastic Frontier Analysis Approach," Economies, MDPI, vol. 10(9), pages 1-12, September.
    24. Lamees Al-Durgham & Mohammad Adeinat, 2021. "Assessing the Relative Efficiency for Listed Manufacturing Firms in Jordan Using Data Envelopment Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 135-139.
    25. Ather Hassan Dar & Somesh Kumar Mathur & Sila Mishra, 2021. "The Efficiency of Indian Banks: A DEA, Malmquist and SFA Analysis with Bad Output," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 653-701, December.
    26. Andriakopoulos, Konstantinos & Kounetas, Konstantinos, 2019. "The impact of large lending on bank efficiency in U.S.A," MPRA Paper 96036, University Library of Munich, Germany.
    27. Liangen Zeng, 2021. "China’s Eco-Efficiency: Regional Differences and Influencing Factors Based on a Spatial Panel Data Approach," Sustainability, MDPI, vol. 13(6), pages 1-19, March.

  6. Benjamin M Tabak & Dimas M Fazio & Regis A Ely & Joao M. T. Amaral & Daniel O Cajueiro, 2017. "The effects of capital buffers on profitability: An empirical study," Economics Bulletin, AccessEcon, vol. 37(3), pages 1468-1473.

    Cited by:

    1. Ely, Regis A. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "The transmission mechanisms of macroprudential policies on bank risk," Economic Modelling, Elsevier, vol. 94(C), pages 598-630.
    2. Scalco, Paulo R. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "Prudential measures and their adverse effects on bank competition: The case of Brazil," Economic Modelling, Elsevier, vol. 100(C).
    3. Ely, Regis Augusto & Tabak, Benjamin Miranda & Teixeira, Anderson Mutter, 2019. "Heterogeneous effects of the implementation of macroprudential policies on bank risk," MPRA Paper 94546, University Library of Munich, Germany.

  7. Tabak, Benjamin M. & Fazio, Dimas M. & de O. Paiva, Karine C. & Cajueiro, Daniel O., 2016. "Financial stability and bank supervision," Finance Research Letters, Elsevier, vol. 18(C), pages 322-327.

    Cited by:

    1. Del Gaudio, Belinda L. & Salerno, Dario & Sampagnaro, Gabriele & Verdoliva, Vincenzo, 2022. "Misconduct risk in banking services: Does a propensity to be sanctioned exist?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    2. Benjamin M Tabak & Dimas M Fazio & Regis A Ely & Joao M. T. Amaral & Daniel O Cajueiro, 2017. "The effects of capital buffers on profitability: An empirical study," Economics Bulletin, AccessEcon, vol. 37(3), pages 1468-1473.
    3. Berlinger, Edina, 2017. "Implicit rating: A potential new method to alert crisis on the interbank lending market," Finance Research Letters, Elsevier, vol. 21(C), pages 277-283.
    4. Ely, Regis A. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "The transmission mechanisms of macroprudential policies on bank risk," Economic Modelling, Elsevier, vol. 94(C), pages 598-630.
    5. Nyola, Annick Pamen & Sauviat, Alain & Tarazi, Amine & Danisman, Gamze Ozturk, 2021. "How organizational and geographic complexity influence performance: Evidence from European banks," Journal of Financial Stability, Elsevier, vol. 55(C).
    6. Del Gaudio, Belinda L. & Porzio, Claudio & Sampagnaro, Gabriele & Verdoliva, Vincenzo, 2021. "How do mobile, internet and ICT diffusion affect the banking industry? An empirical analysis," European Management Journal, Elsevier, vol. 39(3), pages 327-332.
    7. Yomna Daoud & Aida Kammoun, 2020. "Financial Stability and Bank Capital: The Case of Islamic Banks," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 361-369.
    8. Ely, Regis Augusto & Tabak, Benjamin Miranda & Teixeira, Anderson Mutter, 2019. "Heterogeneous effects of the implementation of macroprudential policies on bank risk," MPRA Paper 94546, University Library of Munich, Germany.
    9. Spyromitros, Eleftherios & Tsintzos, Panagiotis, 2019. "Credit expansion in a monetary policy game: Implications of the valuation haircut framework," Finance Research Letters, Elsevier, vol. 28(C), pages 125-129.
    10. Noman, Abu Hanifa Md. & Gee, Chan Sok & Isa, Che Ruhana, 2018. "Does bank regulation matter on the relationship between competition and financial stability? Evidence from Southeast Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 144-161.

  8. Teixeira, Anderson M. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2015. "The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation," Journal of Behavioral and Experimental Finance, Elsevier, vol. 5(C), pages 81-84.
    See citations under working paper version above.
  9. Fazio, Dimas M. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2015. "Inflation targeting: Is IT to blame for banking system instability?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 76-97.

    Cited by:

    1. Mutarindwa, Samuel & Schäfer, Dorothea & Stephan, Andreas, 2020. "Central banks' supervisory guidance on corporate governance and bank stability: Evidence from African countries," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43.
    2. Musa, Umar & Jun, Wen, 2020. "Does inflation targeting cause financial instability?: An empirical test of paradox of credibility hypothesis," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    3. Geoffrey R. Dunbar & Amy (Qijia) Li, 2019. "The Effects of Inflation Targeting for Financial Development," Staff Analytical Notes 2019-21, Bank of Canada.
    4. Fărcaș, Ioana Georgiana & Nistor, Simona, 2023. "The impact of culture on government interventions in the banking sector," Economic Modelling, Elsevier, vol. 129(C).
    5. Uyar, Ali & Wasiuzzaman, Shaista & Kuzey, Cemil & Karaman, Abdullah S., 2022. "Board structure and financial stability of financial firms: Do board policies and CEO duality matter?," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 47(C).
    6. Christophe Blot & Jérôme Creel & Xavier Ragot, 2015. "Flexible inflation targeting vs nominal GDP targeting in the euro area," SciencePo Working papers Main hal-03429880, HAL.
    7. Yujing Gong & Kung-Cheng Ho, 2018. "Does corporate social responsibility matter for corporate stability? Evidence from China," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(5), pages 2291-2319, September.
    8. Levieuge, G. & Lucotte, Y. & Pradines-Jobet, F., 2019. "Central banks’ preferences and banking sector vulnerability," Journal of Financial Stability, Elsevier, vol. 40(C), pages 110-131.
    9. Levieuge, Grégory & Lucotte, Yannick & Pradines-Jobet, Florian, 2021. "The cost of banking crises: Does the policy framework matter?," Journal of International Money and Finance, Elsevier, vol. 110(C).
    10. Ely, Regis A. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "The transmission mechanisms of macroprudential policies on bank risk," Economic Modelling, Elsevier, vol. 94(C), pages 598-630.
    11. Tabak, Benjamin M. & Fazio, Dimas M. & de O. Paiva, Karine C. & Cajueiro, Daniel O., 2016. "Financial stability and bank supervision," Finance Research Letters, Elsevier, vol. 18(C), pages 322-327.
    12. Adel Bogari, 2020. "Revisiting the Nexus Between Inflation Targeting and the Build-Up of the Financial Imbalances," Applied Economics and Finance, Redfame publishing, vol. 7(2), pages 85-95, March.
    13. Nautz, Dieter & Pagenhardt, Laura & Strohsal, Till, 2017. "The (de-)anchoring of inflation expectations: New evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 103-115.
    14. Fouda Owoundi, Jean-Pierre & Mbassi, Christophe Martial & Owoundi, Ferdinand, 2021. "Does inflation targeting weaken financial stability? Assessing the role of institutional quality," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 374-398.
    15. Adina Ionela Străchinaru & Bogdan Andrei Dumitrescu, 2019. "Assessing the Sustainability of Inflation Targeting: Evidence from EU Countries with Non-EURO Currencies," Sustainability, MDPI, vol. 11(20), pages 1-13, October.
    16. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2021. "Bank risk-taking and corporate investment: Evidence from the Global Financial Crisis of 2007–2009," Global Finance Journal, Elsevier, vol. 49(C).
    17. Ely, Regis Augusto & Tabak, Benjamin Miranda & Teixeira, Anderson Mutter, 2019. "Heterogeneous effects of the implementation of macroprudential policies on bank risk," MPRA Paper 94546, University Library of Munich, Germany.
    18. Ben Bouheni, Faten & Hasnaoui, Amir, 2017. "Cyclical behavior of the financial stability of eurozone commercial banks," Economic Modelling, Elsevier, vol. 67(C), pages 392-408.
    19. Spyromitros, Eleftherios & Tsintzos, Panagiotis, 2019. "Credit expansion in a monetary policy game: Implications of the valuation haircut framework," Finance Research Letters, Elsevier, vol. 28(C), pages 125-129.
    20. Salma Louati & Younes Boujelbene, 2020. "Inflation targeting and bank risk: The interacting effect of institutional quality," Cogent Business & Management, Taylor & Francis Journals, vol. 7(1), pages 1847889-184, January.
    21. Ho, Kung-Cheng & Lee, Shih-Cheng & Chen, Jiun-Lin, 2022. "Book-to-market equity and asset correlations—An international study," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 258-274.
    22. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  10. Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.
    See citations under working paper version above.
  11. Benjamin Tabak & Daniel Cajueiro & Dimas Fazio, 2013. "Financial fragility in a general equilibrium model: the Brazilian case," Annals of Finance, Springer, vol. 9(3), pages 519-541, August.
    See citations under working paper version above.
  12. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2013. "Systemically important banks and financial stability: The case of Latin America," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3855-3866.

    Cited by:

    1. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Chen, Zhongfei & Wanke, Peter & Tsionas, Mike G., 2018. "Assessing the strategic fit of potential M&As in Chinese banking: A novel Bayesian stochastic frontier approach," Economic Modelling, Elsevier, vol. 73(C), pages 254-263.
    3. John Goddard & Phil Molyneux & Jonathan Williams, 2013. "Dealing with Cross-Firm Heterogeneity in Bank Efficiency Estimates: Some evidence from Latin America," Working Papers 13011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    4. Shailesh Rastogi & Arpita Sharma & Geetanjali Pinto & Venkata Mrudula Bhimavarapu, 2022. "A literature review of risk, regulation, and profitability of banks using a scientometric study," Future Business Journal, Springer, vol. 8(1), pages 1-17, December.
    5. Tammuz Alraheb & Amine Tarazi, 2018. "Local Versus International Crises, Foreign Subsidiaries and Bank Stability: Evidence from the MENA Region," Post-Print hal-01558246, HAL.
    6. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Cesar de Castro Miranda, 2014. "Do Interconnections Matter for Bank Efficiency?," Working Papers Series 374, Central Bank of Brazil, Research Department.
    7. Theresa Schäfer & Sebastian Utz, 2022. "Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 5-32, March.
    8. Sarmiento Paipilla, N.M. & Galán, Jorge E., 2015. "The Influence of Risk-taking on Bank Efficiency : Evidence from Colombia," Other publications TiSEM f7a73cdb-55a2-40d3-936f-7, Tilburg University, School of Economics and Management.
    9. Ana Lilia Hernández Pineda & Alí Aali-Bujari, 2022. "¿Impulsan la actividad económica en América Latina el número de sucursales bancarias y cajeros automáticos?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-13, Enero - M.
    10. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
    11. Tammuz H. Alraheb & Amine Tarazi, 2018. "Local versus International Crises and Bank Stability: does bank foreign expansion make a difference?," Applied Economics, Taylor & Francis Journals, vol. 50(10), pages 1138-1155, February.
    12. Peterson, Ozili K. & Arun, Thankom G., 2018. "Income smoothing among European systemic and non-systemic banks," The British Accounting Review, Elsevier, vol. 50(5), pages 539-558.
    13. Filip Switala & Malgorzata Olszak & Iwona Kowalska, 2013. "Competition in commercial banks in Poland – analysis of Panzar-Rosse H-statistics," Faculty of Management Working Paper Series 42013, University of Warsaw, Faculty of Management.
    14. Juan Carlos CUESTAS & Yannick LUCOTTE & Nicolas REIGL, 2019. "Banking sector concentration, competition and financial stability: the case of the Baltic countries," LEO Working Papers / DR LEO 2731, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    15. Carvallo, Oscar & Kasman, Adnan, 2017. "Convergence in bank performance: Evidence from Latin American banking," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 127-142.
    16. Tabak, Benjamin M. & Gomes, Guilherme M.R. & da Silva Medeiros, Maurício, 2015. "The impact of market power at bank level in risk-taking: The Brazilian case," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 154-165.
    17. Silva, Thiago Christiano & Guerra, Solange Maria & Tabak, Benjamin Miranda & de Castro Miranda, Rodrigo Cesar, 2016. "Financial networks, bank efficiency and risk-taking," Journal of Financial Stability, Elsevier, vol. 25(C), pages 247-257.
    18. Siddharth Jain & Partha Gangopadhyay, 2020. "Impacts of Endogenous Sunk-Cost Investment on the Islamic Banking Industry: A Historical Analysis," JRFM, MDPI, vol. 13(6), pages 1-23, May.
    19. Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2021. "Systemic risk measures and distribution forecasting of macroeconomic shocks," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 178-196.
    20. Jeon, Jin Q. & Lim, Kwang Kyu, 2013. "Bank competition and financial stability: A comparison of commercial banks and mutual savings banks in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 253-272.
    21. Asteriou, Dimitrios & Pilbeam, Keith & Tomuleasa, Iuliana, 2021. "The impact of corruption, economic freedom, regulation and transparency on bank profitability and bank stability: Evidence from the Eurozone area," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 150-177.
    22. Scalco, Paulo R. & Tabak, Benjamin M. & Teixeira, Anderson M., 2021. "Prudential measures and their adverse effects on bank competition: The case of Brazil," Economic Modelling, Elsevier, vol. 100(C).
    23. Fukuyama, Hirofumi & Tan, Yong, 2022. "Implementing strategic disposability for performance evaluation: Innovation, stability, profitability and corporate social responsibility in Chinese banking," European Journal of Operational Research, Elsevier, vol. 296(2), pages 652-668.
    24. Sergio R. S. Souza & Benjamin M. Tabak & Solange M. Guerra, 2013. "Insolvency and Contagion in the Brazilian Interbank Market," Working Papers Series 320, Central Bank of Brazil, Research Department.
    25. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    26. Gómez, Fabiana, 2015. "Failed bank takeovers and financial stability," Journal of Financial Stability, Elsevier, vol. 16(C), pages 45-58.
    27. C. Spulbăr & M. Niţoi, 2014. "Determinants of bank cost efficiency in transition economies: evidence for Latin America, Central and Eastern Europe and South-East Asia," Applied Economics, Taylor & Francis Journals, vol. 46(16), pages 1940-1952, June.
    28. He, Chengying & Huang, Ke & Lin, Jianwu & Wang, Tianqi & Zhang, Zuominyang, 2023. "Explain systemic risk of commodity futures market by dynamic network," International Review of Financial Analysis, Elsevier, vol. 88(C).
    29. Duan, Yuejiao & Fan, Xiaoyun & Li, Xinming & Rong, Yuhao & Shi, Benye, 2021. "Do efficient banks create more liquidity: international evidence," Finance Research Letters, Elsevier, vol. 42(C).

  13. Rafael Cavalcanti de Araújo & Daniel Oliveira Cajueiro, 2013. "Combining term structure of interest rate forecasts: The Brazilian case," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(2), pages 102-121.

    Cited by:

    1. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
    2. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.

  14. Rivera-Castro, Miguel A. & Miranda, José G.V. & Borges, Ernesto P. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "A top–bottom price approach to understanding financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1489-1496.

    Cited by:

    1. Pyrlik, Vladimir, 2013. "Autoregressive conditional duration as a model for financial market crashes prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 6041-6051.
    2. Han, Ruokang & Takahashi, Taiki, 2012. "Psychophysics of time perception and valuation in temporal discounting of gain and loss," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6568-6576.

  15. Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O., 2012. "Forecasting the yield curve for the Euro region," Economics Letters, Elsevier, vol. 117(2), pages 513-516.
    See citations under working paper version above.
  16. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2012. "The relationship between banking market competition and risk-taking: Do size and capitalization matter?," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3366-3381.
    See citations under working paper version above.
  17. Rivera-Castro, Miguel A. & Miranda, José G.V. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "Detecting switching points using asymmetric detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 170-179.

    Cited by:

    1. Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2016. "Asymmetric multiscale behavior in PM2.5 time series: Based on asymmetric MS-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 355-365.
    2. Zhang, W.F. & Zhao, Q., 2015. "Asymmetric long-term persistence analysis in sea surface temperature anomaly," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 314-318.
    3. Khondekar, Mofazzal Hossain & Ghosh, Koushik & Bhattacharjee, Anup Kumar, 2016. "Scaling and nonlinear behaviour of daily mean temperature time series across IndiaAuthor-Name: Ray, Rajdeep," Chaos, Solitons & Fractals, Elsevier, vol. 84(C), pages 9-14.
    4. Marinho, E.B.S. & Sousa, A.M.Y.R. & Andrade, R.F.S., 2013. "Using Detrended Cross-Correlation Analysis in geophysical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2195-2201.
    5. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
    6. Zhang, Xin & Zhu, Yingming & Yang, Liansheng, 2018. "Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 105-115.
    7. Pyrlik, Vladimir, 2013. "Autoregressive conditional duration as a model for financial market crashes prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 6041-6051.
    8. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    9. Zhuang, Xiaoyang & Wei, Dan, 2022. "Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    10. Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
    11. Liu, Hsing & Liao, Chi-Yo & Ko, Jing-Yuan & Lih, Jiann-Shing, 2017. "Anchoring effect on first passage process in Taiwan financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 114-127.
    12. Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.

  18. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2011. "The effects of loan portfolio concentration on Brazilian banks' return and risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3065-3076, November.
    See citations under working paper version above.
  19. Cajueiro, D.O., 2011. "Enforcing social behavior in an Ising model with complex neighborhoods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1695-1703.

    Cited by:

    1. Francisco Prieto-Castrillo & Amin Shokri Gazafroudi & Javier Prieto & Juan Manuel Corchado, 2018. "An Ising Spin-Based Model to Explore Efficient Flexibility in Distributed Power Systems," Complexity, Hindawi, vol. 2018, pages 1-16, May.
    2. Stefan, F.M. & Atman, A.P.F., 2015. "Is there any connection between the network morphology and the fluctuations of the stock market index?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 630-641.
    3. Fan Zou & Yupeng Li & Jiahuan Huang, 2022. "Group interaction and evolution of customer reviews based on opinion dynamics towards product redesign," Electronic Commerce Research, Springer, vol. 22(4), pages 1131-1151, December.

  20. Sachsida, Adolfo & Divino, Jose Angelo & Cajueiro, Daniel Oliveira, 2011. "Inflation, unemployment, and the time consistency of the US monetary policy," Structural Change and Economic Dynamics, Elsevier, vol. 22(2), pages 173-179, June.

    Cited by:

    1. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
    2. Berggren, Niclas & Daunfeldt, Sven-Olof & Hellström, Jörgen, 2012. "Social Trust and Central-Bank Independence," Working Paper Series 920, Research Institute of Industrial Economics.
    3. Swastika, Putri & Masih, Mansur, 2016. "Do interest rate and inflation affect unemployment? evidence from Australia," MPRA Paper 100067, University Library of Munich, Germany.

  21. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
    See citations under working paper version above.
  22. B. M. Tabak & T. R. Serra & D. O. Cajueiro, 2010. "Topological properties of commodities networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 74(2), pages 243-249, March.

    Cited by:

    1. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    2. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
    3. Nobi, Ashadun & Alam, Shafiqul & Lee, Jae Woo, 2017. "Dynamic of consumer groups and response of commodity markets by principal component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 337-344.
    4. Zhang, Xin & Podobnik, Boris & Kenett, Dror Y. & Eugene Stanley, H., 2014. "Systemic risk and causality dynamics of the world international shipping market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 43-53.
    5. Benjamin Miranda Tabak & Thiago Christiano Silva & Ahmet Sensoy, 2019. "Financial Networks 2019," Complexity, Hindawi, vol. 2019, pages 1-2, December.
    6. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Silva, José W.L. & Tabak, Benjamin Miranda, 2022. "Booms in commodities price: Assessing disorder and similarity over economic cycles," Resources Policy, Elsevier, vol. 79(C).
    7. Paulus, Michal & Kristoufek, Ladislav, 2015. "Worldwide clustering of the corruption perception," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 351-358.
    8. Ladislav Kristoufek & Karel Janda & David Zilberman, 2013. "Regime-dependent topological properties of biofuels networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(2), pages 1-12, February.
    9. Kazemilari, Mansooreh & Mardani, Abbas & Streimikiene, Dalia & Zavadskas, Edmundas Kazimieras, 2017. "An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach," Renewable Energy, Elsevier, vol. 102(PA), pages 107-117.
    10. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    11. Albarracín E., Eva Susana & Gamboa, Juan C. Rodríguez & Marques, Elaine C.M. & Stosic, Tatijana, 2019. "Complexity analysis of Brazilian agriculture and energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 933-941.
    12. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    13. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
    14. A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach," Papers 1301.6506, arXiv.org.
    15. Lima, Cristiane Rocha Albuquerque & de Melo, Gabriel Rivas & Stosic, Borko & Stosic, Tatijana, 2019. "Cross-correlations between Brazilian biofuel and food market: Ethanol versus sugar," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 687-693.
    16. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
    17. Wiliński, M. & Sienkiewicz, A. & Gubiec, T. & Kutner, R. & Struzik, Z.R., 2013. "Structural and topological phase transitions on the German Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5963-5973.
    18. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    19. M. Wili'nski & A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Structural and topological phase transitions on the German Stock Exchange," Papers 1301.2530, arXiv.org, revised Jul 2013.
    20. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
    21. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Relationship Between Prices of Food, Fuel and Biofuel," 131st Seminar, September 18-19, 2012, Prague, Czech Republic 135793, European Association of Agricultural Economists.
    22. Deviren, Seyma Akkaya & Deviren, Bayram, 2016. "The relationship between carbon dioxide emission and economic growth: Hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 429-439.
    23. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "The effect of interconnectivity on stock returns during the Global Financial Crisis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    24. Sun, Qingru & Gao, Xiangyun & Wen, Shaobo & Chen, Zhihua & Hao, Xiaoqing, 2018. "The transmission of fluctuation among price indices based on Granger causality network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 36-49.

  23. Cajueiro, Daniel O., 2010. "Optimal navigation for characterizing the role of the nodes in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1945-1954.

    Cited by:

    1. Weckström, Christoffer & Mladenović, Miloš N. & Kujala, Rainer & Saramäki, Jari, 2021. "Navigability assessment of large-scale redesigns in nine public transport networks: Open timetable data approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 147(C), pages 212-229.

  24. Cajueiro, Daniel O. & Tabak, Benjamin M., 2010. "Fluctuation dynamics in US interest rates and the role of monetary policy," Finance Research Letters, Elsevier, vol. 7(3), pages 163-169, September.
    See citations under working paper version above.
  25. D. O. Cajueiro & R.F.S. Andrade, 2010. "Controlling self-organized criticality in complex networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 77(2), pages 291-296, September.

    Cited by:

    1. Alexander Shiroky & Andrey Kalashnikov, 2023. "Influence of the Internal Structure on the Integral Risk of a Complex System on the Example of the Risk Minimization Problem in a “Star” Type Structure," Mathematics, MDPI, vol. 11(4), pages 1-18, February.

  26. B. A. Mello & V. M.C.S. Souza & D. O. Cajueiro & R. F.S. Andrade, 2010. "Network evolution based on minority game with herding behavior," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(1), pages 147-156, July.

    Cited by:

    1. Xin-Jie Zhang & Yong Tang & Jason Xiong & Wei-Jia Wang & Yi-Cheng Zhang, 2018. "Dynamics of Cooperation in Minority Games in Alliance Networks," Sustainability, MDPI, vol. 10(12), pages 1-17, December.
    2. Stefan, F.M. & Atman, A.P.F., 2015. "Is there any connection between the network morphology and the fluctuations of the stock market index?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 630-641.
    3. Geetika Madaan & Sanjeet Singh, 2019. "An Analysis of Behavioral Biases in Investment Decision-Making," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(4), pages 55-67, July.

  27. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.

    Cited by:

    1. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    2. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    3. Bhattacharjee, Biplab & Kumar, Rajiv & Senthilkumar, Arunachalam, 2022. "Unidirectional and bidirectional LSTM models for edge weight predictions in dynamic cross-market equity networks," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Li, Jianxuan & Shi, Yingying & Cao, Guangxi, 2018. "Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1140-1151.
    5. Xi, Xian & An, Haizhong, 2018. "Research on energy stock market associated network structure based on financial indicators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1309-1323.
    6. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    7. Longsheng Cheng & Mahboubeh Shadabfar & Arash Sioofy Khoojine, 2023. "A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets," Mathematics, MDPI, vol. 11(5), pages 1-34, February.
    8. Qu, Junyi & Liu, Ying & Tang, Ming & Guan, Shuguang, 2022. "Identification of the most influential stocks in financial networks," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    9. Coletti, Paolo, 2016. "Comparing minimum spanning trees of the Italian stock market using returns and volumes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 246-261.
    10. Wang, Yanli & Li, Huajiao & Guan, Jianhe & Liu, Nairong, 2019. "Similarities between stock price correlation networks and co-main product networks: Threshold scenarios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 66-77.
    11. Hongduo Cao & Tiantian Lin & Ying Li & Hanyu Zhang, 2019. "Stock Price Pattern Prediction Based on Complex Network and Machine Learning," Complexity, Hindawi, vol. 2019, pages 1-12, May.
    12. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    13. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
    14. Kazemilari, Mansooreh & Mardani, Abbas & Streimikiene, Dalia & Zavadskas, Edmundas Kazimieras, 2017. "An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach," Renewable Energy, Elsevier, vol. 102(PA), pages 107-117.
    15. khoojine, Arash Sioofy & Han, Dong, 2019. "Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1091-1109.
    16. Kanjamapornkul, K. & Pinčák, Richard & Bartoš, Erik, 2016. "The study of Thai stock market across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 117-133.
    17. Bilal Ahmed Memon & Hongxing Yao & Rabia Tahir, 2020. "General election effect on the network topology of Pakistan’s stock market: network-based study of a political event," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-14, December.
    18. Linda Margarita Medina Herrera & Ernesto Armando Pacheco Velázquez, 2012. "Distances And Networks: The Case Of Mexico," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(2), pages 39-48.
    19. Tom'av{s} V'yrost & v{S}tefan Ly'ocsa & Eduard Baumohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985, arXiv.org.
    20. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
    21. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
    22. Výrost, Tomáš, 2012. "Country effects in CEE3 stock market networks: a preliminary study," MPRA Paper 43481, University Library of Munich, Germany.
    23. de Pontes, Lucca Siebra & Rêgo, Leandro Chaves, 2022. "Impact of macroeconomic variables on the topological structure of the Brazilian stock market: A complex network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    24. Kartikay Gupta & Niladri Chatterjee, 2020. "Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds," Papers 2004.10560, arXiv.org, revised May 2020.
    25. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
    26. Sensoy, Ahmet & Tabak, Benjamin M., 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
    27. Chu, J. & Nadarajah, S., 2017. "A statistical analysis of UK financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 445-459.
    28. Hosseini, Seyed Soheil & Wormald, Nick & Tian, Tianhai, 2021. "A Weight-based Information Filtration Algorithm for Stock-correlation Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    29. Dariusz Siudak, 2021. "Sectoral Analysis of the US Stock Market through Complex Networks," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 951-966.
    30. Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
    31. Djauhari, Maman A., 2012. "A robust filter in stock networks analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 5049-5057.
    32. Chen, Kun & Luo, Peng & Sun, Bianxia & Wang, Huaiqing, 2015. "Which stocks are profitable? A network method to investigate the effects of network structure on stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 224-235.
    33. Haishu Qiao & Yue Xia & Ying Li, 2016. "Can Network Linkage Effects Determine Return? Evidence from Chinese Stock Market," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-25, June.
    34. Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    35. Wang, Gang-Jin & Xie, Chi & Han, Feng & Sun, Bo, 2012. "Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4136-4146.
    36. Zhu, Jia & Wei, Daijun, 2021. "Analysis of stock market based on visibility graph and structure entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 576(C).
    37. Binghui Li & Yuehan Yang, 2022. "Undirected and Directed Network Analysis of the Chinese Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 1155-1173, October.
    38. Luciano Rossoni & Cezar Eduardo Aranha & Wesley Mendes-Da-Silva, 2018. "The Complexity of Social Capital: The Influence of Board and Ownership Interlocks on Implied Cost of Capital in an Emerging Market," Complexity, Hindawi, vol. 2018, pages 1-12, February.
    39. Gogas, Periklis & Papadimitriou, Theophilos & Matthaiou, Maria-Artemis, 2016. "Bank supervision using the Threshold-Minimum Dominating Set," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 23-35.
    40. Bilal Ahmed Memon & Rabia Tahir, 2021. "Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 329-344.
    41. Periklis Gogas & Theophilos Papadimitriou & Maria-Artemis Matthaiou, 2022. "Supervision of Banking Networks Using the Multivariate Threshold-Minimum Dominating Set (mT-MDS)," JRFM, MDPI, vol. 15(6), pages 1-13, June.
    42. Haiming Long & Ji Zhang & Nengyu Tang, 2017. "Does network topology influence systemic risk contribution? A perspective from the industry indices in Chinese stock market," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-19, July.
    43. Neto, José de Paula Neves & Figueiredo, Daniel Ratton, 2023. "Ranking influential and influenced stocks over time using transfer entropy networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    44. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
    45. A. Q. Barbi & G. A. Prataviera, 2017. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Papers 1711.06185, arXiv.org, revised May 2019.
    46. Mbatha, Vusisizwe Moses & Alovokpinhou, Sedjro Aaron, 2022. "The structure of the South African stock market network during COVID-19 hard lockdown," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 590(C).
    47. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    48. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2013. "Minimal spanning tree problem in stock networks analysis: An efficient algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2226-2234.
    49. Kim, Kyungwon & Jung, Sean S., 2014. "Empirical analysis of structural change in Credit Default Swap volatility," Chaos, Solitons & Fractals, Elsevier, vol. 60(C), pages 56-67.
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    51. Seyed Soheil Hosseini & Nick Wormald & Tianhai Tian, 2019. "A Weight-based Information Filtration Algorithm for Stock-Correlation Networks," Papers 1904.06007, arXiv.org.
    52. Pereira, Hernane Borges de Barros & Rosário, Raphael Silva do & Pereira, Eder Johnson de Area Leão & Moreira, Davidson Martins & Ferreira, Paulo & Miranda, José Garcia Vivas, 2022. "Network dynamic and stability on European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    53. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2016. "Investigating the Influence Relationship Models for Stocks in Indian Equity Market: A Weighted Network Modelling Study," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-33, November.
    54. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    55. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.
    56. Samitas, Aristeidis & Kampouris, Elias & Kenourgios, Dimitris, 2020. "Machine learning as an early warning system to predict financial crisis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    57. Feng, Sida & Huang, Shupei & Qi, Yabin & Liu, Xueyong & Sun, Qingru & Wen, Shaobo, 2018. "Network features of sector indexes spillover effects in China: A multi-scale view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 461-473.
    58. Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
    59. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
    60. Barbi, A.Q. & Prataviera, G.A., 2019. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 876-885.
    61. Yao, Hongxing & Memon, Bilal Ahmed, 2019. "Network topology of FTSE 100 Index companies: From the perspective of Brexit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1248-1262.
    62. Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail, 2016. "Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach," Papers 1608.07694, arXiv.org.

  28. Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(1), pages 59-62.

    Cited by:

    1. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    2. da Silva, Roberto & Zembrzuski, Marcelo & Correa, Fabio C. & Lamb, Luis C., 2010. "Stock markets and criticality in the current economic crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5460-5467.
    3. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
    4. Furtado, Bernardo Alves & Eberhardt, Isaque Daniel Rocha, 2015. "Modelo espacial simples da economia: uma proposta teórico-metodológica [A simple spatial economic model: a proposal]," MPRA Paper 67005, University Library of Munich, Germany.
    5. Gu, Gao-Feng & Xiong, Xiong & Zhang, Yong-Jie & Chen, Wei & Zhang, Wei & Zhou, Wei-Xing, 2016. "Stylized facts of price gaps in limit order books," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 48-58.
    6. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.

  29. Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.

    Cited by:

    1. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
    2. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
    3. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    4. Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
    5. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
    6. Alam, Nafis & Arshad, Shaista & Rizvi, Syed Aun R., 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, Elsevier, vol. 31(C), pages 108-114.
    7. Chenyu Han & Yiming Wang & Yingying Xu, 2019. "Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash," Sustainability, MDPI, vol. 11(6), pages 1-15, March.
    8. Lamia SEBAI, 2022. "Intégration et efficience des marchés locaux et régionaux pendant la crise financière," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 43-61, June.
    9. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
    10. Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
    11. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    12. Rounaghi, Mohammad Mahdi & Nassir Zadeh, Farzaneh, 2016. "Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 10-21.
    13. Tri Minh Nguyen, 2017. "The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 9(1), pages 109-118, February.
    14. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    15. Ning, Ye & Han, Chenyu & Wang, Yiming, 2018. "The multifractal properties of Euro and Pound exchange rates and comparisons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 578-587.
    16. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    17. Xiao, Di & Wang, Jun, 2021. "Attitude interaction for financial price behaviours by contact system with small-world network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    18. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.
    19. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    20. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    21. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    22. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
    23. Nawaz, Nasreen, 2019. "Efficiency on the Dynamic Adjustment Path in a Financial Market," MPRA Paper 118271, University Library of Munich, Germany, revised 04 Jun 2020.
    24. Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    25. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
    26. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
    27. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
    28. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    29. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    30. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 167-180.
    31. Yan Meng & Lingyun Xiong & Lijuan Xiao & Min Bai, 2023. "The effect of overseas investors on local market efficiency: evidence from the Shanghai/Shenzhen–Hong Kong Stock Connect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-32, December.
    32. Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
    33. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    34. Navaz Naghavi & Muhammad Shujaat Mubarik & Devinder Kaur, 2018. "Financial Liberalization And Stock Market Efficiency: Measuring The Threshold Effects Of Governance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-24, December.
    35. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    36. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    37. Arjoon, Vaalmikki, 2016. "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 112-126.
    38. Rizwan Khalid & Choudhry Tanveer Shehzad & Bushra Naqvi, 2023. "Impact of capital account liberalization on stock market crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3700-3726, October.
    39. Ali, Amjad, 2022. "Financial Liberalization, Institutional Quality and Economic Growth Nexus: Panel Analysis of African Countries," MPRA Paper 116329, University Library of Munich, Germany, revised 2022.
    40. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
    41. Caihong Xu & Dong Zhang, 2019. "Market openness and market quality in gold markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 384-401, March.
    42. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
    43. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    44. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    45. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
    46. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    47. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    48. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    49. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
    50. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
    51. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    52. Rizvi, Syed Aun R. & Dewandaru, Ginanjar & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 86-99.
    53. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
    54. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
    55. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    56. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
    57. Xiong, Lingyun & Deng, Hui & Xiao, Lijuan, 2021. "Does stock market liberalization mitigate litigation risk? Evidence from Stock Connect in China," Economic Modelling, Elsevier, vol. 102(C).
    58. Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    59. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    60. Wang, Jian & Jiang, Wenjing & Wu, Xinpei & Yang, Mengdie & Shao, Wei, 2023. "Role of vaccine in fighting the variants of COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    61. Yijie Li & Jianghui Liu & Haizhi Wang & Peng Wang, 2021. "Stock market liberalization, foreign institutional investors, and informational efficiency of stock prices: Evidence from an emerging market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5451-5471, October.
    62. Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
    63. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    64. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    65. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    66. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
    67. Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010. "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.
    68. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
    69. Han, Chenyu & Wang, Yiming & Ning, Ye, 2019. "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    70. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
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    77. Maganini, Natália Diniz & Da Silva Filho, Antônio Carlos & Lima, Fabiano Guasti, 2018. "Investigation of multifractality in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 258-271.
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  30. Benjamin M. Tabak & Daniel O. Cajueiro & Thiago R. Serra, 2009. "Topological Properties Of Bank Networks: The Case Of Brazil," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1121-1143.

    Cited by:

    1. Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt, 2015. "A simple agent-based spatial model of the economy: tools for policy," Papers 1510.04967, arXiv.org, revised Oct 2016.
    2. Tao Xu & Jianmin He & Shouwei Li, 2016. "Multi-Channel Contagion In Dynamic Interbank Market Network," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 19(06n07), pages 1-25, September.
    3. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    4. Cajueiro, Daniel O., 2010. "Optimal navigation for characterizing the role of the nodes in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1945-1954.
    5. Furtado, Bernardo Alves & Eberhardt, Isaque Daniel Rocha, 2015. "Modelo espacial simples da economia: uma proposta teórico-metodológica [A simple spatial economic model: a proposal]," MPRA Paper 67005, University Library of Munich, Germany.
    6. Xu, Tao & He, Jianmin & Li, Shouwei, 2016. "A dynamic network model for interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 131-138.

  31. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1137-1149.

    Cited by:

    1. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    2. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    3. Paulus, Michal & Kristoufek, Ladislav, 2015. "Worldwide clustering of the corruption perception," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 351-358.
    4. Ladislav Kristoufek & Karel Janda & David Zilberman, 2013. "Regime-dependent topological properties of biofuels networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(2), pages 1-12, February.
    5. Kazemilari, Mansooreh & Mardani, Abbas & Streimikiene, Dalia & Zavadskas, Edmundas Kazimieras, 2017. "An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach," Renewable Energy, Elsevier, vol. 102(PA), pages 107-117.
    6. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
    7. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
    8. Sensoy, Ahmet & Tabak, Benjamin M., 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
    9. Ersin Kantar & Alper Aslan & Bayram Deviren & Mustafa Keskin, 2014. "Hierarchical structure of the countries based on electricity consumption and economic growth," Papers 1406.6562, arXiv.org, revised Jun 2014.
    10. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
    11. Sang Hoon Kang & Salim Lahmiri & Gazi Salah Uddin & Jose Arreola Hernandez & Seong-Min Yoon, 2020. "Inflation cycle synchronization in ASEAN countries," Post-Print hal-02779489, HAL.
    12. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    13. A. Q. Barbi & G. A. Prataviera, 2017. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Papers 1711.06185, arXiv.org, revised May 2019.
    14. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
    15. Kim, Kyungwon & Jung, Sean S., 2014. "Empirical analysis of structural change in Credit Default Swap volatility," Chaos, Solitons & Fractals, Elsevier, vol. 60(C), pages 56-67.
    16. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Relationship Between Prices of Food, Fuel and Biofuel," 131st Seminar, September 18-19, 2012, Prague, Czech Republic 135793, European Association of Agricultural Economists.
    17. Deviren, Seyma Akkaya & Deviren, Bayram, 2016. "The relationship between carbon dioxide emission and economic growth: Hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 429-439.
    18. Barbi, A.Q. & Prataviera, G.A., 2019. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 876-885.

  32. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.

    Cited by:

    1. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    3. Daniel T. Pele, 2012. "An Lppl Algorithm For Estimating The Critical Time Of A Stock Market Bubble," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 1(2), pages 14-22, DECEMBER.
    4. Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018. "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers 2018-056, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    5. Li Lin & Didier Sornette, 2018. "“Speculative Influence Network” during financial bubbles: application to Chinese stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 385-431, July.
    6. Daniel Traian Pele & Miruna Mazurencu-Marinescu & Peter Nijkamp, 2013. "Herding Behaviour, Bubbles and Log Periodic Power Laws in Illiquid Stock Markets. A Case Study on the Bucharest Stock Exchange," Tinbergen Institute Discussion Papers 13-109/VIII, Tinbergen Institute.
    7. Christos I. Giannikos & Hany Guirguis & Andreas Kakolyris & Tin Shan (Michael) Suen, 2024. "When to Hedge Downside Risk?," Risks, MDPI, vol. 12(2), pages 1-20, February.
    8. Tomson Ogwang, 2011. "Power laws in top wealth distributions: evidence from Canada," Empirical Economics, Springer, vol. 41(2), pages 473-486, October.
    9. Andreea Pece, 2014. "The Herding Behavior On Small Capital Markets: Evidence From Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 795-801, July.
    10. Li Lin & Didier Sornette, 2015. ""Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets," Papers 1510.08162, arXiv.org.
    11. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.

  33. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.

    Cited by:

    1. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
    2. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    3. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
    4. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    5. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    6. Ritesh Kumar Mishra & Sanjay Sehgal & N.R. Bhanumurthy, 2011. "A search for long‐range dependence and chaotic structure in Indian stock market," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 96-104, May.
    7. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    8. Jian Pan & Xiangying Zhou, 2017. "Pricing for options in a mixed fractional Hull–White interest rate model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-15, March.
    9. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
    10. Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
    11. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    12. Wang, Xiao-Tian & Yan, Hai-Gang & Tang, Ming-Ming & Zhu, En-Hui, 2010. "Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 452-458.
    13. Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
    14. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
    15. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    16. Wang, XiaoTian & Yang, ZiJian & Cao, PiYao & Wang, ShiLin, 2021. "The closed-form option pricing formulas under the sub-fractional Poisson volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
    17. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system," LSE Research Online Documents on Economics 80749, London School of Economics and Political Science, LSE Library.
    18. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    19. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
    20. Silva, Thiago Christiano & Coelho, Florângela Cunha & Ehrl, Philipp & Tabak, Benjamin Miranda, 2020. "Internet access in recessionary periods: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    21. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    22. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    23. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    24. Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
    25. Tao Yin & Yiming Wang, 2019. "Predicting the Price of WTI Crude Oil Using ANN and Chaos," Sustainability, MDPI, vol. 11(21), pages 1-14, October.
    26. Lahmiri, Salim, 2017. "Cointegration and causal linkages in fertilizer markets across different regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 181-189.
    27. Burnecki, Krzysztof & Sikora, Grzegorz, 2017. "Identification and validation of stable ARFIMA processes with application to UMTS data," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 456-466.

  34. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.

    Cited by:

    1. Kononovicius, A. & Ruseckas, J., 2015. "Nonlinear GARCH model and 1/f noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 74-81.
    2. Kakinaka, Shinji & Umeno, Ken, 2022. "Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach," Finance Research Letters, Elsevier, vol. 46(PA).
    3. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    4. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    5. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    6. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    7. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    8. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.
    9. Darko Stosic & Dusan Stosic & Irena Vodenska & H. Eugene Stanley & Tatijana Stosic, 2021. "A new look at calendar anomalies: Multifractality and day of the week effect," Papers 2106.06164, arXiv.org.
    10. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
    11. Hilal Hümeyra Özsu, 2015. "Empirical Analysis of Herd Behavior in Borsa Istanbul," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(4), pages 27-52, December.
    12. Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024, arXiv.org, revised May 2015.
    13. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    14. TRENCA Ioan & PETRIA Ioan & PECE Andreea Maria, 2015. "Empirical Inquiry Of Gregarious Behavior: Evidence From European Emerging Markets," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(2), pages 143-160.
    15. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    16. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    17. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    18. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    19. Aleksejus Kononovicius & Julius Ruseckas, 2014. "Nonlinear GARCH model and 1/f noise," Papers 1412.6244, arXiv.org, revised Feb 2015.
    20. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    21. Afego, Pyemo N., 2018. "Index shocks, investor action and long-run stock performance in Japan: A case of cultural behaviouralism?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 54-66.
    22. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
    23. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
    24. Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
    25. Delbianco, Fernando & Tohmé, Fernando & Stosic, Tatijana & Stosic, Borko, 2016. "Multifractal behavior of commodity markets: Fuel versus non-fuel products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 573-580.
    26. Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010. "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.
    27. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
    28. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.
    29. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Tiwari, Aviral Kumar & Farid, Saqib, 2023. "Comparing asymmetric price efficiency in regional ESG markets before and during COVID-19," Economic Modelling, Elsevier, vol. 118(C).

  35. Souza, Sergio R. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2008. "Long memory testing for Fed Funds Futures’ contracts," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 180-186.

    Cited by:

    1. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    2. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    3. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    4. Burnecki, Krzysztof & Sikora, Grzegorz, 2017. "Identification and validation of stable ARFIMA processes with application to UMTS data," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 456-466.

  36. Mello, Bernardo A. & Cajueiro, Daniel O., 2008. "Minority games, diversity, cooperativity and the concept of intelligence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 557-566.

    Cited by:

    1. Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
    2. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).

  37. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    See citations under working paper version above.
  38. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for long-range dependence in world stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 37(3), pages 918-927.

    Cited by:

    1. Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
    2. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    3. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    4. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
    5. Kristoufek, Ladislav, 2010. "On spurious anti-persistence in the US stock indices," Chaos, Solitons & Fractals, Elsevier, vol. 43(1), pages 68-78.
    6. Rivera-Castro, Miguel A. & Miranda, José G.V. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "Detecting switching points using asymmetric detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 170-179.
    7. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    8. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
    9. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    10. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    11. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    12. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    13. Ibarra-Valdez, C. & Alvarez, J. & Alvarez-Ramirez, J., 2016. "Randomness confidence bands of fractal scaling exponents for financial price returns," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 119-124.
    14. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013. "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 561-570, March.
    15. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    16. Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
    17. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
    18. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    19. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    20. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
    21. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    22. Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns," Papers 1404.1051, arXiv.org, revised Feb 2018.
    23. Adil Yilmaz & Gazanfer Unal, 2016. "Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes," Papers 1601.08099, arXiv.org, revised Feb 2016.
    24. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    25. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    26. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    27. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    28. 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.
    29. Boryana Bogdanova & Ivan Ivanov, 2016. "A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(4), pages 655-673, March.
    30. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    31. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
    32. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
    33. Bigdeli, N. & Afshar, K., 2009. "Chaotic behavior of price in the power markets with pay-as-bid payment mechanism," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2560-2569.

  39. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.

    Cited by:

    1. Alam, Nafis & Arshad, Shaista & Rizvi, Syed Aun R., 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, Elsevier, vol. 31(C), pages 108-114.
    2. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
    3. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    4. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    5. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
    6. Vinodh Madhavan & Rakesh Arrawatia, 2016. "Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective," Studies in Microeconomics, , vol. 4(2), pages 127-150, December.
    7. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    8. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    9. Ferreira, Paulo, 2019. "Assessing the relationship between dependence and volume in stock markets: A dynamic analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 90-97.
    10. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
    11. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    12. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    13. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    14. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
    15. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    16. Ferreira, Paulo & Dionísio, Andreia & Guedes, Everaldo Freitas & Zebende, Gilney Figueira, 2018. "A sliding windows approach to analyse the evolution of bank shares in the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1355-1367.
    17. Silva, Thiago Christiano & Coelho, Florângela Cunha & Ehrl, Philipp & Tabak, Benjamin Miranda, 2020. "Internet access in recessionary periods: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    18. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    19. Dora Almeida & Andreia Dionísio & Paulo Ferreira, 2023. "When two banks fall, how do markets react?," Economics and Business Letters, Oviedo University Press, vol. 12(4), pages 331-341.
    20. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
    21. Imen Zgueb Rejichi & Chaker Aloui & Duc Khuong Nguyen, 2014. "Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective," Working Papers 2014-78, Department of Research, Ipag Business School.
    22. Wang, Xiao-Tian, 2010. "Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 438-444.
    23. Hui, Eddie Chi-Man & Wang, Ziyou, 2015. "Can we predict the property cycle? A study of securitized property market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 72-87.
    24. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.
    25. Wang, Zhuo & Shang, Pengjian, 2021. "Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    26. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    27. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
    28. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.

  40. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "The role of banks in the Brazilian interbank market: Does bank type matter?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6825-6836.
    See citations under working paper version above.
  41. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.

    Cited by:

    1. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
    2. Zhang, Wei-Guo & Li, Zhe & Liu, Yong-Jun, 2018. "Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 402-418.
    3. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
    4. Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012. "The valuation of equity warrants in a fractional Brownian environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752.
    5. Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
    6. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    7. Takami, Marcelo Yoshio & Tabak, Benjamin Miranda, 2008. "Interest rate option pricing and volatility forecasting: An application to Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 755-763.
    8. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    9. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    10. Yuxin Zhao & Shuai Chang & Chang Liu, 2015. "Multifractal theory with its applications in data management," Annals of Operations Research, Springer, vol. 234(1), pages 133-150, November.
    11. Zhang, Weiping & Zhuang, Xintian, 2019. "The stability of Chinese stock network and its mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 748-761.
    12. Lin, Xiaoqiang & Fei, Fangyu, 2013. "Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis," Economic Modelling, Elsevier, vol. 31(C), pages 265-275.
    13. A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin, 2015. "On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk," Papers 1512.09280, arXiv.org.
    14. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    15. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
    16. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
    17. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
    18. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    19. Ladislav Kristoufek & Miloslav Vosvrda, 2012. "Measuring capital market efficiency: Global and local correlations structure," Papers 1208.1298, arXiv.org.
    20. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    21. Jian Pan & Xiangying Zhou, 2017. "Pricing for options in a mixed fractional Hull–White interest rate model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-15, March.
    22. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
    23. Liu, Yufang & Zhang, Weiguo & Fu, Junhui, 2016. "Binomial Markov-Switching Multifractal model with Skewed t innovations and applications to Chinese SSEC Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 56-66.
    24. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    25. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
    26. Chen, Hongtao & Wu, Chongfeng, 2011. "Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2926-2935.
    27. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    28. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    29. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    30. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    31. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
    32. Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
    33. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
    34. Panhong Cheng & Zhihong Xu & Zexing Dai, 2023. "Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    35. Olivares, Felipe & Zanin, Massimiliano, 2022. "Corrupted bifractal features in finite uncorrelated power-law distributed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    36. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
    37. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
    38. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
    39. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    40. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
    41. Yufang Liu & Weiguo Zhang & Junhui Fu & Xiang Wu, 2020. "Multifractal Analysis of Realized Volatilities in Chinese Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 319-336, August.
    42. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    43. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
    44. Lucía Inglada-Pérez & Pablo Coto-Millán, 2021. "A Chaos Analysis of the Dry Bulk Shipping Market," Mathematics, MDPI, vol. 9(17), pages 1-35, August.
    45. Rizvi, Syed Aun R. & Dewandaru, Ginanjar & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 86-99.
    46. Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
    47. Chen, Hong & Zhu, Li & Jia, GuoZhu, 2020. "MF-DCCA between molecular properties and aqueous solubility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    48. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
    49. Kanevski, M. & Maignan, M. & Pozdnoukhov, A. & Timonin, V., 2008. "Interest rates mapping," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3897-3903.
    50. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    51. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
    52. Leonenko, Nikolai & Petherick, Stuart & Taufer, Emanuele, 2013. "Multifractal models via products of geometric OU-processes: Review and applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 7-16.
    53. Wang, Xiao-Tian & Zhu, En-Hui & Tang, Ming-Ming & Yan, Hai-Gang, 2010. "Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 445-451.
    54. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    55. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
    56. Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
    57. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
    58. M. Kanevski & M. Maignan & A. Pozdnoukhov & V. Timonin, 2007. "Interest rates mapping," Papers 0709.4361, arXiv.org.
    59. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    60. Wang, Qing & Hu, Yiming, 2015. "Cross-correlation between interest rates and commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 80-89.
    61. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
    62. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
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    65. Foad Shokrollahi, 2017. "Pricing compound and extendible options under mixed fractional Brownian motion with jumps," Papers 1708.04829, arXiv.org.

  42. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Is the expression H=1/(3-q) valid for real financial data?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 593-602.

    Cited by:

    1. Mulligan, Robert F., 2017. "The multifractal character of capacity utilization over the business cycle: An application of Hurst signature analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 147-152.
    2. Pakrashi, Vikram & Kelly, Joe & Harkin, Julie & Farrell, Aidan, 2013. "Hurst exponent footprints from activities on a large structural system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1803-1817.
    3. Mulligan, Robert F., 2014. "Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 252-264.

  43. E. P. Borges & D. O. Cajueiro & R. F.S. Andrade, 2007. "Mapping dynamical systems onto complex networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 58(4), pages 469-474, August.

    Cited by:

    1. Cajueiro, Daniel O., 2010. "Optimal navigation for characterizing the role of the nodes in complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1945-1954.

  44. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Characterizing bid–ask prices in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 627-633.

    Cited by:

    1. Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 263-282, October.
    2. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.

  45. Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.

    Cited by:

    1. Chi Zhang & Zhengning Pu & Qin Zhou, 2018. "Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market," Sustainability, MDPI, vol. 10(1), pages 1-14, January.
    2. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
    4. Soini, Vesa & Lorentzen, Sindre, 2019. "Option prices and implied volatility in the crude oil market," Energy Economics, Elsevier, vol. 83(C), pages 515-539.
    5. Ortiz-Cruz, Alejandro & Rodriguez, Eduardo & Ibarra-Valdez, Carlos & Alvarez-Ramirez, Jose, 2012. "Efficiency of crude oil markets: Evidences from informational entropy analysis," Energy Policy, Elsevier, vol. 41(C), pages 365-373.
    6. Tiwari, Aviral Kumar & Kumar, Satish & Pathak, Rajesh & Roubaud, David, 2019. "Testing the oil price efficiency using various measures of long-range dependence," Energy Economics, Elsevier, vol. 84(C).
    7. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
    8. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu & Huang, Wei-qiang, 2014. "Stable distribution and long-range correlation of Brent crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 173-179.
    9. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    10. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
    11. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
    12. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    13. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    14. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    15. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    16. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
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    1. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
    2. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    3. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Silva, José W.L. & Tabak, Benjamin Miranda, 2022. "Booms in commodities price: Assessing disorder and similarity over economic cycles," Resources Policy, Elsevier, vol. 79(C).
    4. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    5. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    6. Wang, Xiao-Tian & Yan, Hai-Gang & Tang, Ming-Ming & Zhu, En-Hui, 2010. "Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 452-458.
    7. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
    8. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    9. Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
    10. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    11. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    12. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    13. Marques, G.O.L.C., 2011. "Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 8-17.
    14. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    15. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    16. Burnecki, Krzysztof & Sikora, Grzegorz, 2017. "Identification and validation of stable ARFIMA processes with application to UMTS data," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 456-466.
    17. Wang, Zhongxing & Yan, Yan & Chen, Xiaosong, 2017. "Long-range correlation and market segmentation in bond market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 477-485.

  47. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and market structure," Chaos, Solitons & Fractals, Elsevier, vol. 31(4), pages 995-1000.

    Cited by:

    1. Takami, Marcelo Yoshio & Tabak, Benjamin Miranda, 2008. "Interest rate option pricing and volatility forecasting: An application to Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 755-763.
    2. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    3. Harrouni, S. & Guessoum, A., 2009. "Using fractal dimension to quantify long-range persistence in global solar radiation," Chaos, Solitons & Fractals, Elsevier, vol. 41(3), pages 1520-1530.
    4. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    5. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013. "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 561-570, March.
    6. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    7. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    8. Batten, Jonathan A. & Ellis, Craig A. & Fethertson, Thomas A., 2008. "Sample period selection and long-term dependence: New evidence from the Dow Jones index," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1126-1140.
    9. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    10. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    11. Wang, Xiao-Tian & Zhu, En-Hui & Tang, Ming-Ming & Yan, Hai-Gang, 2010. "Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 445-451.
    12. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    13. Foad Shokrollahi, 2017. "The valuation of European option with transaction costs by mixed fractional Merton model," Papers 1702.00152, arXiv.org.
    14. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    15. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.

  48. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for rational bubbles in banking indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 365-376.

    Cited by:

    1. KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
    2. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
    3. Yue-Jun Zhang & Ting Yao & Zi-Yi Wang, 2015. "The bubble process of international crude oil futures prices: empirical evidence from the STAR model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 109-125.
    4. Marcelo M. de Oliveira & Alexandre C. L. Almeida, 2014. "Testing for rational speculative bubbles in the Brazilian residential real-estate market," Papers 1401.7615, arXiv.org.
    5. Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
    6. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.

  49. Cajueiro, Daniel O., 2006. "A note on the relevance of the q-exponential function in the context of intertemporal choices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 385-388.

    Cited by:

    1. Takahashi, Taiki, 2011. "Psychophysics of the probability weighting function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 902-905.
    2. Takahashi, Taiki & Oono, Hidemi & Radford, Mark H.B., 2008. "Psychophysics of time perception and intertemporal choice models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2066-2074.
    3. Cruz Rambaud, Salvador & Muñoz Torrecillas, María José, 2013. "A generalization of the q-exponential discounting function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3045-3050.
    4. Rambaud, Salvador Cruz & Pascual, Joaquín López & de los Ángeles del Pino Álvarez, María, 2019. "Preferences over sequences of payments: A new validation of the q-exponential discounting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 332-345.
    5. Takahashi, Taiki, 2007. "A probabilistic choice model based on Tsallis’ statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 335-338.
    6. Lu, Yang & Wu, Dongmei & Zhuang, Xintian, 2016. "Part-whole bias in intertemporal choice: An empirical study of additive assumption," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 231-235.
    7. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Is the expression H=1/(3-q) valid for real financial data?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 593-602.
    8. Zhao, Shuaidong & Zhang, Kuilin, 2020. "A distributionally robust stochastic optimization-based model predictive control with distributionally robust chance constraints for cooperative adaptive cruise control under uncertain traffic conditi," Transportation Research Part B: Methodological, Elsevier, vol. 138(C), pages 144-178.
    9. dos Santos, Lindomar Soares & Destefano, Natália & Martinez, Alexandre Souto, 2018. "Decision making generalized by a cumulative probability weighting function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 250-259.
    10. Takahashi, Taiki & Oono, Hidemi & Radford, Mark H.B., 2007. "Empirical estimation of consistency parameter in intertemporal choice based on Tsallis’ statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 338-342.
    11. Salvador Cruz Rambaud & María José Muñoz Torrecillas, 2016. "Measuring Impatience in Intertemporal Choice," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-17, February.
    12. do Nascimento, José Cláudio, 2021. "The personal wealth importance to the intertemporal choice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    13. Takahashi, Taiki, 2009. "Tsallis’ non-extensive free energy as a subjective value of an uncertain reward," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 715-719.
    14. Takahashi, Taiki, 2008. "A comparison between Tsallis’s statistics-based and generalized quasi-hyperbolic discount models in humans," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 551-556.
    15. Jos'e Cl'audio do Nascimento, 2019. "Rational hyperbolic discounting," Papers 1910.05209, arXiv.org, revised Feb 2020.
    16. Martins, Francisco Leonardo Bezerra & do Nascimento, José Cláudio, 2022. "Power law dynamics in genealogical graphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    17. Natalia Destefano & Alexandre Souto Martinez, 2010. "The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws," Papers 1010.5648, arXiv.org, revised May 2011.
    18. Takahashi, Taiki & Hadzibeganovic, Tarik & Cannas, Sergio & Makino, Takaki & Fukui, Hiroki & Kitayama, Shinobu, 2009. "Cultural neuroeconomics of intertemporal choice," MPRA Paper 16814, University Library of Munich, Germany.
    19. Lu, Yang & Zhuang, Xintian, 2014. "The impact of gender and working experience on intertemporal choices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 146-153.
    20. West, B.J. & Grigolini, P., 2010. "A psychophysical model of decision making," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3580-3587.
    21. Cruz Rambaud, Salvador & Parra Oller, Isabel María & Valls Martínez, María del Carmen, 2018. "The amount-based deformation of the q-exponential discount function: A joint analysis of delay and magnitude effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 788-796.
    22. Destefano, Natália & Martinez, Alexandre Souto, 2011. "The additive property of the inconsistency degree in intertemporal decision making through the generalization of psychophysical laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(10), pages 1763-1772.
    23. Martinez, Alexandre Souto & González, Rodrigo Silva & Terçariol, César Augusto Sangaletti, 2008. "Continuous growth models in terms of generalized logarithm and exponential functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5679-5687.
    24. Han, Ruokang & Takahashi, Taiki, 2012. "Psychophysics of time perception and valuation in temporal discounting of gain and loss," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6568-6576.
    25. Takahashi, Taiki, 2007. "A comparison of intertemporal choices for oneself versus someone else based on Tsallis’ statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 637-644.
    26. Salvador Cruz Rambaud & Isabel González Fernández & Viviana Ventre, 2018. "Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension," Annals of Finance, Springer, vol. 14(3), pages 415-426, August.
    27. Bhattacharyya, Trambak & Shukla, Shanu & Pandey, Ranu, 2022. "A Tsallis-like effective exponential delay discounting model and its implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    28. Alexandre Souto Martinez & Rodrigo Silva Gonzalez & Cesar Augusto Sangaletti Tercariol, 2008. "Continuous growth models in terms of generalized logarithm and exponential functions," Papers 0803.2635, arXiv.org, revised May 2008.
    29. Rivera-Castro, Miguel A. & Miranda, José G.V. & Borges, Ernesto P. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "A top–bottom price approach to understanding financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1489-1496.
    30. Takahashi, Taiki, 2010. "A social discounting model based on Tsallis’ statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3600-3603.

  50. Daniel Cajueiro & Benjamin Tabak, 2006. "The long-range dependence phenomena in asset returns: the Chinese case," Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 131-133.

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    1. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    2. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    3. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    4. Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.
    5. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
    6. Cevik, Emrah Ismail, 2012. "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme [The testing of efficient market hypothesis in the Istanbul Stock Excha," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
    7. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
    8. Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
    9. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
    10. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    11. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    12. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    13. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.
    14. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.

  51. Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Assessing inefficiency in euro bilateral exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 319-327.

    Cited by:

    1. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    2. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    4. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    5. Ramazan Gencay & Nikola Gradojevic, 2009. "Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence," Working Paper series 28_09, Rimini Centre for Economic Analysis.
    6. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
    7. Guangxi Cao, 2012. "Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 230-248, July.
    8. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
    9. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    10. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    11. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Hanif, Waqas & Kayani, Ghulam Mujtaba, 2018. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 433-450.
    12. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    13. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    14. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.

  52. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.

    Cited by:

    1. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    2. Alexandru Todea & Adrian Zoicas-Ienciu & Angela-Maria Filip, 2009. "Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-72.
    3. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
    4. Lazăr, Dorina & Todea, Alexandru & Filip, Diana, 2012. "Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets," Economic Systems, Elsevier, vol. 36(3), pages 338-350.
    5. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    6. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.
    7. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    8. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
    9. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
    10. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    11. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
    12. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
    13. Phooi M’ng, Jacinta Chan, 2018. "Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 336-345.
    14. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.
    15. Vinodh Madhavan & Rakesh Arrawatia, 2016. "Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective," Studies in Microeconomics, , vol. 4(2), pages 127-150, December.
    16. Ladislav Krištoufek, 2010. "Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009 [Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 471-487.
    17. Ferreira, Paulo, 2019. "Assessing the relationship between dependence and volume in stock markets: A dynamic analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 90-97.
    18. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
    19. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
    20. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    21. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    22. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
    23. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
    24. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    25. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    26. Ferreira, Paulo & Dionísio, Andreia & Guedes, Everaldo Freitas & Zebende, Gilney Figueira, 2018. "A sliding windows approach to analyse the evolution of bank shares in the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1355-1367.
    27. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
    28. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    29. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    30. Dora Almeida & Andreia Dionísio & Paulo Ferreira, 2023. "When two banks fall, how do markets react?," Economics and Business Letters, Oviedo University Press, vol. 12(4), pages 331-341.
    31. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
    32. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
    33. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
    34. Gu, Rongbao & Shao, Yanmin & Wang, Qingnan, 2013. "Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 361-370.
    35. Velimir Šonje & Denis Alajbeg & Zoran Bubas, 2011. "Efficient market hypothesis: is the Croatian stock market as (in)efficient as the U.S. market," Financial Theory and Practice, Institute of Public Finance, vol. 35(3), pages 301-326.
    36. Boryana Bogdanova & Ivan Ivanov, 2016. "A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(4), pages 655-673, March.
    37. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    38. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
    39. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
    40. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.
    41. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
    42. Ferreira, Paulo & Quintino, Derick & Wundervald, Bruna & Dionísio, Andreia & Aslam, Faheem & Cantarinha, Ana, 2021. "Is Brazilian music getting more predictable? A statistical physics approach for different music genres," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).

  53. Souza, Sergio R.S. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    See citations under working paper version above.
  54. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for long range dependence in banking equity indices," Chaos, Solitons & Fractals, Elsevier, vol. 26(5), pages 1423-1428.

    Cited by:

    1. Alam, Nafis & Arshad, Shaista & Rizvi, Syed Aun R., 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, Elsevier, vol. 31(C), pages 108-114.
    2. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.
    3. Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
    4. Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
    5. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    6. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    7. Yin, Xin-An & Yang, Xiao-Hua & Yang, Zhi-Feng, 2009. "Using the R/S method to determine the periodicity of time series," Chaos, Solitons & Fractals, Elsevier, vol. 39(2), pages 731-745.
    8. Imen Zgueb Rejichi & Chaker Aloui & Duc Khuong Nguyen, 2014. "Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective," Working Papers 2014-78, Department of Research, Ipag Business School.
    9. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.

  55. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Possible causes of long-range dependence in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 635-645.

    Cited by:

    1. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    2. Dilip Kumar & S. Maheswaran, 2015. "Long memory in Indian exchange rates: an application of power-law scaling analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 90-107, July.
    3. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    4. Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt, 2015. "A simple agent-based spatial model of the economy: tools for policy," Papers 1510.04967, arXiv.org, revised Oct 2016.
    5. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    6. Pereira, Pedro L. Valls, 2009. "Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro," Textos para discussão 181, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    7. González-Pla, Francisco & Lovreta, Lidija, 2019. "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    8. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    9. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    10. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    11. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
    12. Aditi Singh & Madhumita Chakraborty, 2017. "Examining Efficiencies of Indian ADRs and their Underlying Stocks," Global Business Review, International Management Institute, vol. 18(1), pages 144-162, February.
    13. Lahmiri, Salim, 2015. "Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 130-138.
    14. Carpinteyro, Martha & Venegas-Martínez, Francisco & Martínez-García, Miguel Ángel, 2018. "Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains," MPRA Paper 90549, University Library of Munich, Germany.
    15. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    16. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    17. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
    18. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Characterizing bid–ask prices in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 627-633.
    19. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    20. Bernardo Alves Furtado & Patrícia Alessandra Morita Sakowski & Marina Haddad Tóvolli, 2015. "A Complexity Approach for Public Policies," Discussion Papers 0205, Instituto de Pesquisa Econômica Aplicada - IPEA.
    21. Furtado, Bernardo Alves & Eberhardt, Isaque Daniel Rocha, 2015. "Modelo espacial simples da economia: uma proposta teórico-metodológica [A simple spatial economic model: a proposal]," MPRA Paper 67005, University Library of Munich, Germany.
    22. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.

  56. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for time-varying long-range dependence in volatility for emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 577-588.

    Cited by:

    1. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
    2. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo & Fernandez-Anaya, Guillermo, 2008. "Time-varying Hurst exponent for US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(24), pages 6159-6169.
    3. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
    4. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    5. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    6. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
    7. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    8. Hartmann, András & Mukli, Péter & Nagy, Zoltán & Kocsis, László & Hermán, Péter & Eke, András, 2013. "Real-time fractal signal processing in the time domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 89-102.
    9. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.
    10. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Silva, José W.L. & Tabak, Benjamin Miranda, 2022. "Booms in commodities price: Assessing disorder and similarity over economic cycles," Resources Policy, Elsevier, vol. 79(C).
    11. Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
    12. Jonathan A. Batten & Craig A. Ellis & Warren P. Hogan, 2004. "Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market," Papers math/0412344, arXiv.org.
    13. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
    14. Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(1), pages 59-62.
    15. Murugesan Selvam & Amirdha Vasani Sankarkumar & Balasundaram Maniam & Marxia Oli Sigo, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 97-109, March.
    16. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
    17. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    18. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
    19. Mitra, S.K. & Bawa, Jaslene, 2017. "Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 124-135.
    20. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
    21. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
    22. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
    23. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
    24. Ruan, Qingsong & Yang, Bingchan & Ma, Guofeng, 2017. "Detrended cross-correlation analysis on RMB exchange rate and Hang Seng China Enterprises Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 91-108.
    25. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    26. Foad Shokrollahi, 2017. "Fractional delta hedging strategy for pricing currency options with transaction costs," Papers 1702.00037, arXiv.org.
    27. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    28. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    29. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
    30. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
    31. Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.
    32. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
    33. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    34. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
    35. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 817-827.
    36. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
    37. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
    38. Liu, Xueyong & An, Haizhong & Huang, Shupei & Wen, Shaobo, 2017. "The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 374-383.
    39. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    40. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    41. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    42. Rizvi, Syed Aun R. & Dewandaru, Ginanjar & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 86-99.
    43. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    44. Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
    45. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
    46. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
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    48. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
    49. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    50. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    51. Kang, Sang Hoon & Jiang, Zhuhua & Lee, Yeonjeong & Yoon, Seong-Min, 2010. "Weather effects on the returns and volatility of the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 91-99.
    52. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for time-varying long-range dependence in real state equity returns," Chaos, Solitons & Fractals, Elsevier, vol. 38(1), pages 293-307.
    53. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
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    55. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    56. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    57. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    58. Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
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    61. Wang, Xiao-Tian, 2010. "Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 438-444.
    62. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
    63. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.
    64. Owusu Junior, Peterson & Alagidede, Imhotep, 2020. "Risks in emerging markets equities: Time-varying versus spatial risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    65. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
    66. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
    67. Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.
    68. Rivera-Castro, Miguel A. & Miranda, José G.V. & Borges, Ernesto P. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "A top–bottom price approach to understanding financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1489-1496.
    69. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
    70. Wang, Zhongxing & Yan, Yan & Chen, Xiaosong, 2017. "Long-range correlation and market segmentation in bond market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 477-485.

  57. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "The rescaled variance statistic and the determination of the Hurst exponent," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 70(3), pages 172-179.

    Cited by:

    1. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
    2. Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2012. "Testing the weak-form efficiency of the WTI crude oil futures market," Papers 1211.4686, arXiv.org.
    3. Daniel Oliveira Cajueiro & Benjamin M. Tabak, 2010. "Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy," Working Papers Series 206, Central Bank of Brazil, Research Department.
    4. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Is the expression H=1/(3-q) valid for real financial data?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 593-602.
    5. Guo, Wenjing & Li, Sijie & Xing, Mengyue & Lin, Shengyao, 2023. "Evaluation of the operational quality of China's grain futures market based on the comprehensive information weighting method," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 467-482.
    6. Li, Wen & Yu, Cindy & Carriquiry, Alicia & Kliemann, Wolfgang, 2011. "The asymptotic behavior of the R/S statistic for fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 83-91, January.
    7. Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie, 2020. "The market quality of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1751-1766, November.
    8. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for long-range dependence in world stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 37(3), pages 918-927.
    9. Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
    10. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.
    11. Ding, Liang & Luo, Yi & Lin, Yan & Huang, Yirong, 2021. "Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).

  58. Cajueiro, Daniel O. & Tabak, Benjamin M. & Souza, Nathalia A., 2005. "Periodic market closures and the long-range dependence phenomena in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 351(2), pages 512-522.

    Cited by:

    1. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    2. Pereira, Pedro L. Valls, 2009. "Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro," Textos para discussão 181, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    3. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    4. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
    5. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    6. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Characterizing bid–ask prices in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 627-633.

  59. Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.

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    1. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
    2. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
    3. Foad Shokrollahi & Marcin Marcin Magdziarz, 2020. "Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate," Papers 2007.12228, arXiv.org, revised Nov 2020.
    4. Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012. "The valuation of equity warrants in a fractional Brownian environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752.
    5. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    6. Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
    7. Takami, Marcelo Yoshio & Tabak, Benjamin Miranda, 2008. "Interest rate option pricing and volatility forecasting: An application to Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 755-763.
    8. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    9. Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
    10. Daniel Oliveira Cajueiro & Benjamin M. Tabak, 2010. "Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy," Working Papers Series 206, Central Bank of Brazil, Research Department.
    11. Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
    12. Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(612), A), pages 71-82, Autumn.
    13. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    14. Khaled Mokni & Manel Youssef, 2020. "Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 635-654, October.
    15. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
    16. Jian Pan & Xiangying Zhou, 2017. "Pricing for options in a mixed fractional Hull–White interest rate model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-15, March.
    17. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
    18. Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
    19. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    20. Wang, Xiao-Tian & Yan, Hai-Gang & Tang, Ming-Ming & Zhu, En-Hui, 2010. "Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(3), pages 452-458.
    21. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    22. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
    23. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
    24. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    25. Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
    26. Silva, Thiago Christiano & Coelho, Florângela Cunha & Ehrl, Philipp & Tabak, Benjamin Miranda, 2020. "Internet access in recessionary periods: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    27. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    28. Yin, Xin-An & Yang, Xiao-Hua & Yang, Zhi-Feng, 2009. "Using the R/S method to determine the periodicity of time series," Chaos, Solitons & Fractals, Elsevier, vol. 39(2), pages 731-745.
    29. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.
    30. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
    31. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
    32. Kang, Sang Hoon & Cho, Hwan-Gue & Yoon, Seong-Min, 2009. "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3543-3550.
    33. Wang, Zhongxing & Yan, Yan & Chen, Xiaosong, 2017. "Long-range correlation and market segmentation in bond market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 477-485.

  60. Cajueiro, Daniel O. & Tabak, Benjamin M., 2004. "Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 656-664.

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    1. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy," FinMaP-Working Papers 18, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Ivani Bora & Naliniprava Tripathy, 2016. "Random or Deterministic? Evidence from Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1716-1721.
    3. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
    4. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
    5. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
    6. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    7. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
    8. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    9. Yuchen An & Kunliang Jiang & Jiashan Song, 2023. "Does a Cross-Correlation of Economic Policy Uncertainty with China’s Carbon Market Really Exist? A Perspective on Fractal Market Hypothesis," Sustainability, MDPI, vol. 15(14), pages 1-18, July.
    10. Dilip Kumar & S. Maheswaran, 2015. "Long memory in Indian exchange rates: an application of power-law scaling analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 90-107, July.
    11. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    12. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    13. Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "Liquidity and realized range-based volatility forecasting: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1102-1113.
    14. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    15. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    16. Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
    17. Li, Yiying & Ren, Xiaohang & Taghizadeh-Hesary, Farhad, 2023. "Vulnerability of sustainable markets to fossil energy shocks," Resources Policy, Elsevier, vol. 85(PB).
    18. Chatterjee, Soumya & Mukherjee, Indranil & Barat, P., 2018. "Analysis of the behaviour of the detrended BSE sensex data," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 186-196.
    19. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.
    20. Lim, Kian-Ping, 2007. "Ranking market efficiency for stock markets: A nonlinear perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 445-454.
    21. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    22. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
    23. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for long range dependence in banking equity indices," Chaos, Solitons & Fractals, Elsevier, vol. 26(5), pages 1423-1428.
    24. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    25. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    26. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    27. Ladislav Kristoufek & Miloslav Vosvrda, 2012. "Measuring capital market efficiency: Global and local correlations structure," Papers 1208.1298, arXiv.org.
    28. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
    29. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
    30. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
    31. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    32. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and market structure," Chaos, Solitons & Fractals, Elsevier, vol. 31(4), pages 995-1000.
    33. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
    34. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
    35. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    36. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    37. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    38. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
    39. Ferreira, Paulo, 2019. "Assessing the relationship between dependence and volume in stock markets: A dynamic analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 90-97.
    40. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    41. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
    42. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
    43. Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
    44. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.
    45. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
    46. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    47. Aditi Singh & Madhumita Chakraborty, 2017. "Examining Efficiencies of Indian ADRs and their Underlying Stocks," Global Business Review, International Management Institute, vol. 18(1), pages 144-162, February.
    48. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    49. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    50. Li, Shuping & Lu, Xinsheng & Liu, Xinghua, 2020. "Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    51. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    52. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
    53. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
    54. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    55. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    56. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
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  62. Cajueiro, Daniel Oliveira & Yoneyama, Takashi, 2004. "Optimal Portfolio and Consumption in a Switching Diffusion Market," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.

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    1. Xie, Shuxiang, 2009. "Continuous-time mean-variance portfolio selection with liability and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 148-155, August.
    2. Zhu, Jinxia & Chen, Feng, 2013. "Dividend optimization for regime-switching general diffusions," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 439-456.

  63. Andrade, R.F.S & Cajueiro, D.O & Ferreira, C.S, 2001. "Fractal characterization of the distribution of reactive sites over a rough catalyst surface," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 323-332.

    Cited by:

    1. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.

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