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A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence
16 references·1 citing·21 second hop
A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence (1986)A Bibliographical Guide to Self-Similar P…The variation of certain speculative prices (1997)The variation of certain spec…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…Brownian Motion (1980)Brownian MotionAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…Long-term dependence in common stock returns (1977)Long-term dependence in commo…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Computer Experiments With Fra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Long-Term Storage: An Experimental Study. (1966)Long-Term Storage: An Experim…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The Pareto-Levy Law and the Distribution of Income (1960)The Pareto-Levy Law and the D…Multiple Wiener Integral (1951)Multiple Wiener IntegralMulti-Fractality in Foreign Currency Markets (2002)Multi-Fractality in Foreign C…Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Typical Spectral Shape of an Economic Variable (1966)Empirical properties of asset returns: stylized facts and statistical issues (2001)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)A Simple Approximate Long-Memory Model of Realized Volatility (2008)When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)Fractal characterization of complexity in temporal physiological signals (2002)Tests for Hurst Effect (1987)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Stein’s method on Wiener chaos (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Detecting long-range correlations with detrended fluctuation analysis (2001)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1966Long-Term Storage: An Experimental Study.766 cited
  • 1960The Pareto-Levy Law and the Distribution of Income741 cited
  • 1951Multiple Wiener Integral699 cited
  • 1979Convergence of integrated processes of arbitrary Hermite rank566 cited
  • 1969Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances542 cited
  • 1977Long-term dependence in common stock returns478 cited

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  • 1980Brownian Motion457 cited
  • Cited by

    • 2002Multi-Fractality in Foreign Currency Markets76 cited