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Does the Efficient Market Hypothesis Hold?: Evidence from Six Transition Economies
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1989On the spectrum of fractional Brownian motions442 cited
  • 2008Long Memory Relationships and the Aggregation of Dynamic Models357 cited
  • 1995A search for long memory in international stock market returns236 cited
  • 2001Long‐term memory in stock market returns: international evidence197 cited
  • 2000Long memory in the Greek stock market191 cited
  • 2002Long memory in stock returns: some international evidence156 cited

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1969
Computer Experiments with Fractional Gaussian Noises: Part 3, Mathematical Appendix
146 cited

Cited by

  • 2020Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak93 cited
  • 2005Fractionally integrated process for transition economics91 cited
  • 2012Financial Markets between Efficiency and Persistence: Empirical Evidence on Daily Data34 cited