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Fractional integration in daily stock market indexes

Citations

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Cited by:

  1. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
  2. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "Persistence, non-linearities and structural breaks in European stock market indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 50-61.
  3. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  4. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
  5. Cristofaro, Lorenzo & Gil-Alana, Luis A. & Chen, Zhongfei & Wanke, Peter, 2021. "Modelling stock market data in China: Crisis and Coronavirus," Finance Research Letters, Elsevier, vol. 41(C).
  6. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  7. Luis Gil-Alana, 2010. "Testing persistence in the context of conditional heteroscedasticity errors," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1709-1723.
  8. 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.
  9. 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).
  10. Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
  11. Athanasios Koulakiotis & Vassilios Babalos & Apostolos Kiohos & Maria I. Kyriakou, 2020. "Long-run memory in ethical and conventional investments. Novel evidence from a VAR(1)-FIEGARCH model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 563-569, July.
  12. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
  13. Luis A. Gil-Alana & Trilochan Tripathy, 2016. "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 199-215, December.
  14. 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.
  15. Galeotti, Marzio & Manera, Matteo & Lanza, Alessandro, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Climate Change Modelling and Policy Working Papers 12045, Fondazione Eni Enrico Mattei (FEEM).
  16. Luis Alberiko A. Gil-Alana & María Jesús González-Blanch & Carlos Poza, 2025. "Labour market mismatches in G7 countries: a fractional integration approach," Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 736-752, February.
  17. Marco Bee & Fabrizio Miorelli, 2010. "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis," Department of Economics Working Papers 1009, Department of Economics, University of Trento, Italia.
  18. Derek Bond & Kenneth A. Dyson, 2008. "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 45-48.
  19. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
  20. Adnan Kasman & Erdost Torun, 2007. "Long Memory in the Turkish Stock Market Return and Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 13-27.
  21. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
  22. Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
  23. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
  24. Cevik, Emrah Ismail & Topaloğlu, Gültekin, 2014. "Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği [Long memory and structural breaks on volatility: evidence from Borsa Istanbul]," MPRA Paper 71485, University Library of Munich, Germany, revised 2014.
  25. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
  26. Kasman, Adnan & Kasman, Saadet & Torun, Erdost, 2009. "Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets," Emerging Markets Review, Elsevier, vol. 10(2), pages 122-139, June.
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