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Long-range correlations and nonstationarity in the Brazilian stock market
7 references·15 citing·43 second hop
Long-range correlations and nonstationarity in the Brazilian stock market (2003)Long-range correlations and nonstationari…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…The behaviour of some UK equity indices: An application of Hurst and BDS tests (1999)The behaviour of some UK equi…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…Multi-affine analysis of typical currency exchange rates (1998)Multi-affine analysis of typi…Coherent and random sequences in financial fluctuations (1997)Coherent and random sequences…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Persistence in ESG and conventional stock market indices (2022)Persistence in ESG and conven…Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting (2017)Market efficiency of traditio…On time-varying predictability of emerging stock market returns (2016)On time-varying predictabilit…Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009 (2014)Behavior of financial markets…An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran (2012)An investigation of Forex mar…The cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)The cross-correlations of sto…Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Modeling stock prices by mult…Are European equity markets efficient? 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this work references cited by second hop

References

  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1999A Multifractal Walk down Wall Street361 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 1997Coherent and random sequences in financial fluctuations163 cited
  • 1999The behaviour of some UK equity indices: An application of Hurst and BDS tests148 cited
  • 1998Multi-affine analysis of typical currency exchange rates137 cited

Cited by

  • 2011The cross-correlations of stock markets based on DCCA and time-delay DCCA97 cited
  • 2007Long-term memory and volatility clustering in high-frequency price changes87 cited
  • 2005Application of multifractal measures to Tehran price index85 cited
  • 2005Fourier-detrended fluctuation analysis84 cited
  • 2011Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity80 cited
  • 2007Multifractal properties of Chinese stock market in Shanghai74 cited
  • 2009Unifractality and multifractality in the Italian stock market73 cited
  • 2011Are European equity markets efficient? New evidence from fractal analysis

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68 cited
  • 2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS46 cited
  • 2022Persistence in ESG and conventional stock market indices45 cited
  • 2012An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran37 cited
  • 2017Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting36 cited
  • 2016On time-varying predictability of emerging stock market returns28 cited
  • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
  • 2014Behavior of financial markets efficiency during the financial market crisis: 2007 – 200926 cited