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Fractionally integrated process for transition economics
11 references·14 citing·38 second hop
Fractionally integrated process for transition economics (2005)Fractionally integrated process for trans…On the Modeling of Financial Time Series (2014)On the Modeling of Financial …Does the Efficient Market Hypothesis Hold?: Evidence from Six Transition Economies (2005)Does the Efficient Market Hyp…Magnitude and Sign Correlations in Heartbeat Fluctuations (2001)Magnitude and Sign Correlatio…Varieties of long memory models (1996)Varieties of long memory mode…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Long-term dependence in stock returns (1996)Long-term dependence in stock…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges (1977)A Comparative Analysis of Sto…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES (1963)SPECTRAL ANALYSIS OF NEW YORK…Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach (2021)Revisiting efficiency in MENA…Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices (2020)Multifractal detrended cross-…Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets (2018)Dynamically Adjustable Moving…How did China’s foreign exchange reform affect the efficiency of foreign exchange market? (2017)How did China’s foreign excha…Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets (2016)Multifractal detrended cross-…How to Grow Successful Social Entrepreneurship Firms? Key Ideas from Complexity Theory (2016)How to Grow Successful Social…Cross-correlations between price and volume in Chinese gold markets (2016)Cross-correlations between pr…Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price (2015)Multifractality, efficiency a…The troika of business cycle, efficiency and volatility. An East Asian perspective (2014)The troika of business cycle,…Multifractal detrended cross-correlation analysis of carbon and crude oil markets (2014)Multifractal detrended cross-…Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data (2012)Is the US stock market becomi…Anti-correlation and subsector structure in financial systems (2012)Anti-correlation and subsecto…An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran (2012)An investigation of Forex mar…Algorithmic complexity theory and the relative efficiency of financial markets (2008)Algorithmic complexity theory…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Estimation of stochastic volatility models with diagnostics (1997)Chapter 15 Volatility and Correlation Forecasting (2006)The Wishart Autoregressive process of multivariate stochastic volatility (2009)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Investigating Political Dynamics Using Fractional Integration Methods (1998)Market efficiency in foreign exchange markets (2007)Complexity testing techniques for time series data: A comprehensive literature review (2015)The Random Character of Stock Market Prices (1968)Time Series Analysis: Forecasting and Control (1977)The behavior of stock prices on LDC markets (1985)Co-Movements of European Equity Markets Before and After the 1987 Crash (1997)Macroeconomic Factors and Pakistani Equity Market” (2004)A long memory property of stock market returns and a new model (1993)Correlations in economic time series (1997)Properties of moments of a family of GARCH processes (1999)Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Introduction to Stochastic Programming (2011)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifractal detrended fluctuation analysis of sunspot time series (2006)Comparison of detrending methods for fluctuation analysis (2008)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Efficient Market Hypothesis (1991)The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility (2001)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1996Varieties of long memory models425 cited
  • 2001Magnitude and Sign Correlations in Heartbeat Fluctuations398 cited
  • 2014On the Modeling of Financial Time Series387 cited
  • 1963SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES383 cited
  • 1996Long-term dependence in stock returns182 cited
  • 1977A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges159 cited
  • 2005Does the Efficient Market Hypothesis Hold?: Evidence from Six Transition Economies45 cited

Cited by

  • 2014Multifractal detrended cross-correlation analysis of carbon and crude oil markets79 cited
  • 2016Cross-correlations between price and volume in Chinese gold markets59 cited
  • 2012Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data55 cited
  • 2016Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets

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55 cited
  • 2020Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices54 cited
  • 2015Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price51 cited
  • 2012Anti-correlation and subsector structure in financial systems51 cited
  • 2012An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran37 cited
  • 2017How did China’s foreign exchange reform affect the efficiency of foreign exchange market?34 cited
  • 2008Algorithmic complexity theory and the relative efficiency of financial markets33 cited
  • 2018Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets24 cited
  • 2014The troika of business cycle, efficiency and volatility. An East Asian perspective23 cited
  • 2021Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach23 cited
  • 2016How to Grow Successful Social Entrepreneurship Firms? Key Ideas from Complexity Theory8 cited