Citations for "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis"
by B. Mandelbrot
- Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
- Mulligan, Robert F., 2010. "A fractal comparison of real and Austrian business cycle models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(11), pages 2244-2267.
- Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economía Mexicana NUEVA ÉPOCA, , vol. 0(1), pages 103-134, January-J.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics Working Papers 2000-06, University of Adelaide, School of Economics.
- Denis Conniffe & John E. Spencer, 2000.
"Approximating the Distribution of the R/s Statistic,"
The Economic and Social Review,
Economic and Social Studies, vol. 31(3), pages 237-248.
- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the R/s Statistic," Papers WP104, Economic and Social Research Institute (ESRI).
- William Butos & Roger Koppl, 1993. "Hayekian expectations: Theory and empirical applications," Constitutional Political Economy, Springer, vol. 4(3), pages 303-329, September.
- Turvey, Calum G. & Power, Gabriel J., 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
- Albu, Lucian-Liviu, 2006. "Non-linear models: applications in economics," MPRA Paper 3100, University Library of Munich, Germany.
- Francis Ahking, 2010.
"Non-parametric tests of real exchange rates in the post-Bretton Woods era,"
Springer, vol. 39(2), pages 439-456, October.
- Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
- Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 187-212, October.
- Chong, Terence T.L. & Lu, Chenxi & Chan, Wing Hong, 2012. "Long-range dependence in the international diamond market," Economics Letters, Elsevier, vol. 116(3), pages 401-403.
- Mehmet Horasanli, 2006. "Predictability of Turkish Foreign Exchange and its Implications to Option Pricing and Arbitrage Opportunities," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 1-10.
- Cornelis A. Los & Jeyanthi Karuppiah, 2004.
"Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997,"
- Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
- Valérie Mignon, 1998. "Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières," Économie et Prévision, Programme National Persée, vol. 132(1), pages 193-214.
- Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
- John Goddard & Enrico Onali, 2014.
"Self-affinity in financial asset returns,"
- Nadiezhda de la Uz, 2002. "La hipótesis de martingala en el mercado bursátil mexicano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(1), pages 91-127.
- Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2008.
"A fractionally integrated exponential STAR model applied to the US real effective exchange rate,"
- Boutahar, Mohamed & Mootamri, Imène & Péguin-Feissolle, Anne, 2009. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Economic Modelling, Elsevier, vol. 26(2), pages 335-341, March.
- Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.).
- Albu, Lucian Liviu, 2008. "Strain and Inflation-Unemployment Relationship in Transitional Economies: A theoretical and empirical investigation," Working Papers of Institute for Economic Forecasting 081103, Institute for Economic Forecasting.
- Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
- Christopher F. Baum & John Barkoulas, 1996.
"Long Term Dependence in Stock Returns,"
Boston College Working Papers in Economics
314., Boston College Department of Economics.
- Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
- Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
- 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.
- Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
- Pagan, A.R. & Schwert, G.W., 1989.
"Alternative Models For Conditional Stock Volatility,"
89-02, Rochester, Business - General.
- Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
- Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
- Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter.
- K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(6), pages 635-667.
- Victor Chow, K. & Denning, Karen C. & Ferris, Stephen & Noronha, Gregory, 1995. "Long-term and short-term price memory in the stock market," Economics Letters, Elsevier, vol. 49(3), pages 287-293, September.
- Machado Filho, A. & da Silva, M.F. & Zebende, G.F., 2014. "Autocorrelation and cross-correlation in time series of homicide and attempted homicide," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 12-19.
- 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.
- Zhen-Hua Feng & Le-Le Zou & Yi-Ming Wei, 2009.
"Carbon price volatility: Evidence from EU ETS,"
CEEP-BIT Working Papers
4, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
- Ehsan Ahmed & J. Barkley Rosser Jr. & Jamshed Y. Uppal, 2010. "Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(4), pages 23-40, January.
- Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
- Cornelis A. Los & Bing Yu, 2005.
"Persistence Characteristics of the Chinese Stock Markets,"
- Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82.
- Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
- Vo, Long H. & Roberts, Leigh, 2014. "On long memory behaviour and predictability of financial markets," Working Paper Series 3361, Victoria University of Wellington, School of Economics and Finance.
- 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.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Giuseppe Cavaliere, 2000. "A Rescaled Range Statistics Approach to Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 0318, Econometric Society.
- Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
- Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
- Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- repec:ebl:ecbull:v:3:y:2003:i:23:p:1-7 is not listed on IDEAS
- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers WP102, Economic and Social Research Institute (ESRI).
- Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013. "Long memory in the ukrainian stock market and financial crises," MPRA Paper 59061, University Library of Munich, Germany.
- Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.
- Kristoufek, Ladislav, 2009.
"Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
[Long-term memory and its evolution in returns of PX between 1999 and 2009]," MPRA Paper 16435, University Library of Munich, Germany.
- Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
- Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
- Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
- Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.