Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Long-term dependence in stock returns

10 references·16 citing·37 second hop

FromToDepth

this work references cited by second hop

References

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
1981Fractional Differencing2,720 cited
1991Long-Term Memory in Stock Market Prices1,743 cited
1989Long-term Memory in Stock Market Prices1,433 cited
1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
1977Long-term dependence in common stock returns478 cited
1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
1995A search for long memory in international stock market returns236 cited
1988Are There Long Cycles in Common Stock Returns?113 cited

Cited by

2015Complexity testing techniques for time series data: A comprehensive literature review137 cited
2007Market efficiency in foreign exchange markets133 cited
2005Fractionally integrated process for transition economics91 cited
1998Investigating Political Dynamics Using Fractional Integration Methods89 cited
2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

87 cited

2009Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets78 cited

2004Fractional Integration in Agricultural Futures Price Volatilities70 cited

2009Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence70 cited

2003Fractal analysis of highly volatile markets: an application to technology equities70 cited

2009Long Memory in Oil and Refined Products Markets69 cited

2012The Efficient Market Hypothesis: Empirical Evidence58 cited

2005Fractional integration in daily stock market indexes57 cited

2012A comparative analysis of the informational efficiency of the fixed income market in seven European countries45 cited

1997FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES45 cited

2012An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran37 cited

2020Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory33 cited