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Testing for long-range dependence in world stock markets

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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. 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.
  4. 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.
  5. 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).
  6. 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.
  7. 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.
  8. Kristoufek, Ladislav, 2010. "On spurious anti-persistence in the US stock indices," Chaos, Solitons & Fractals, Elsevier, vol. 43(1), pages 68-78.
  9. Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2017. "Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 579-594, December.
  10. Adil Yilmaz & Gazanfer Unal, 2016. "Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes," Papers 1601.08099, arXiv.org, revised Feb 2016.
  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. 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.
  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. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
  20. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
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