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ArticleLong-term dependence in stock returns

John Barkoulas1996

Article1996

Long-term dependence in stock returns

John Barkoulas · Christopher F. Baum

182 citations·0/0 files stored·Economics Letters

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 1991Long-Term Memory in Stock Market Prices 1989Long-term Memory in Stock Market Prices 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence 1977Long-term dependence in common stock returns 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

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2015Complexity testing techniques for time series data: A comprehensive literature review 2007Market efficiency in foreign exchange markets 2005Fractionally integrated process for transition economics 1998Investigating Political Dynamics Using Fractional Integration Methods 2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange 2009

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2012Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging marketarticle · 10 shared references 1996Long term dependence in stock returnsarticle · 9 shared references 1995A search for long memory in international stock market returnsarticle · 8 shared references 2001Long‐term memory in stock market returns: international evidencearticle · 8 shared references 1994Fractal structure in currency futures price dynamicsarticle · 8 shared references 1993Do Gold Market Returns Have Long Memory?article · 8 shared references

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Year1996

Typearticle

Published1996-12-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations182

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0165-1765(96)00935-4

openalex_workW1972024464

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