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R/S Analysis and Long Term Dependence in Stock Market Indices
16 references·0 citing·34 second hop
R/S Analysis and Long Term Dependence in Stock Market Indices (1995)R/S Analysis and Long Term Dependence in …Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis (2016)Predictable Behavior in Finan…Patterns in Three Centuries of Stock Market Prices (1993)Patterns in Three Centuries o…Do Gold Market Returns Have Long Memory? (1993)Do Gold Market Returns Have L…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Chaos and order in the capital markets (1991)Chaos and order in the capita…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Are There Long Cycles in Common Stock Returns? (1988)Are There Long Cycles in Comm…Tests for Hurst Effect (1987)Tests for Hurst EffectENTROPY, BIFURCATION AND DYNAMIC MARKET DISEQUILIBRIUM (1984)ENTROPY, BIFURCATION AND DYNA…The origin of predictable behavior (1983)The origin of predictable beh…Asymmetrical Information in Securities Markets and Trading Volume (1980)Asymmetrical Information in S…The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands (1976)The Expected Value of the Adj…The expected value of the adjusted rescaled Hurst range of independent normal summands (1976)The expected value of the adj…Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)Statistical Methodology for N…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …Some long‐run properties of geophysical records (1969)Some long‐run properties of g…The Nature of the Firm (1937)The Structure of Scientific Revolutions (1963)Prospect theory: An analysis of decision under risk (1988)Economic Performance Through Time (1993)Shared Mental Models: Ideologies and Institutions (1994)Organizational routines: a review of the literature (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Efficient Tests of Nonstationary Hypotheses (1994)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Théorie de la spéculation (1900)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long-term dependence in common stock returns (1977)Empirical properties of asset returns: stylized facts and statistical issues (2001)An Empirical Evaluation of Accounting Income Numbers (1968)Risk Aversion in the Small and in the Large (1976)The Relation Between Price Changes and Trading Volume: A Survey (1987)Trading Volume and Serial Correlation in Stock Returns (1993)A Model of Competitive Stock Trading Volume (1994)Long-Term Storage: An Experimental Study. (1966)Approach to an irregular time series on the basis of the fractal theory (1988)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (1997)Effect of trends on detrended fluctuation analysis (2001)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long memory processes and fractional integration in econometrics (1996)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)A comment on measuring the Hurst exponent of financial time series (2004)Estimation of Hurst exponent revisited (2006)A Complex Adaptive Systems Model of Organization Change (1997)The politics of attention: how government prioritizes problems (2006)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)
this work references cited by second hop

References

  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1989Long-term Memory in Stock Market Prices1,448 cited
  • 1983The origin of predictable behavior1,164 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1991Chaos and order in the capital markets566 cited
  • 1987Tests for Hurst Effect544 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
  • 1976The expected value of the adjusted rescaled Hurst range of independent normal summands194 cited
  • 1980Asymmetrical Information in Securities Markets and Trading Volume169 cited
  • 1976The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands138 cited
  • 1988Are There Long Cycles in Common Stock Returns?113 cited
  • 1993Do Gold Market Returns Have Long Memory?109 cited
  • 1993Patterns in Three Centuries of Stock Market Prices89 cited
  • 2016Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis43 cited

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1984
ENTROPY, BIFURCATION AND DYNAMIC MARKET DISEQUILIBRIUM
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