Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece
Download full text from publisher
References listed on IDEAS
- Muchnik, Lev & Bunde, Armin & Havlin, Shlomo, 2009. "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4145-4150.
- Marcelo Fernandes & Breno Neri, 2010.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
Taylor & Francis Journals, vol. 29(3), pages 276-306.
- Fernandes, Marcelo, 2001. "Nonparametric entropy-based tests of independence between stochastic processes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 413, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
- 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.
- Rui Menezes & Andreia Dionísio & Hossein Hassanic, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
- Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
- Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2009. "Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1659-1664.
- Perron, Pierre & Vogelsang, Timothy J, 1992.
"Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 301-320, July.
- Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
- Ausloos, M., 2000. "Statistical physics in foreign exchange currency and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 48-65.
- Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 291-312, March.
- Jaroszewicz, Sebastian & Mariani, M. Cristina & Ferraro, Marta, 2005. "Long correlations and truncated Levy walks applied to the study Latin-American market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 461-474.
- Perron, Pierre, 1997.
"Further evidence on breaking trend functions in macroeconomic variables,"
Journal of Econometrics,
Elsevier, vol. 80(2), pages 355-385, October.
- Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
- Enrico Scalas, 2005.
"Five Years of Continuous-time Random Walks in Econophysics,"
- Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers cond-mat/0501261, arXiv.org.
- Ausloos, M. & Vandewalle, N. & Boveroux, Ph. & Minguet, A. & Ivanova, K., 1999. "Applications of statistical physics to economic and financial topics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 229-240.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
KeywordsSerial dependence; Stock indexes; Mutual information; Detrended fluctuation analysis; Nonlinearities.;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2012_24. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco). General contact details of provider: http://edirc.repec.org/data/cfevopt.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.