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Inefficiency in Latin-American market indices
16 references·1 citing·36 second hop
Inefficiency in Latin-American market indices (2007)Inefficiency in Latin-American market ind…Ranking market efficiency for stock markets: A nonlinear perspective (2006)Ranking market efficiency for…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…Testing for time-varying long-range dependence in volatility for emerging markets (2004)Testing for time-varying long…Ranking efficiency for emerging markets (2004)Ranking efficiency for emergi…Ranking efficiency for emerging equity markets II☆ (2004)Ranking efficiency for emergi…Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Long-term memories of develop…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Long-range correlations and nonstationarity in the Brazilian stock market (2003)Long-range correlations and n…Magnitude and Sign Correlations in Heartbeat Fluctuations (2001)Magnitude and Sign Correlatio…Long-Range Dependence in Daily Stock Volatilities (2000)Long-Range Dependence in Dail…Wavelet analysis of long-range-dependent traffic (1998)Wavelet analysis of long-rang…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…A long memory property of stock market returns and a new model (1993)A long memory property of sto…On the spectrum of fractional Brownian motions (1989)On the spectrum of fractional…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)THE EVOLUTION OF STOCK MARKET…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Evolutionary Theory of Economic Change. (1983)Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011)Multifractal analysis of financial markets: a review (2019)Machine learning techniques and data for stock market forecasting: A literature review (2022)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)The Pricing of Options and Corporate Liabilities (1973)Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)A multifractal wavelet model with application to network traffic (1999)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Stock market prices and long-range dependence (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Comparison of detrending methods for fluctuation analysis (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Limit order books (2013)Human behavior and the principle of least effort (1949)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Statistical physics of human cooperation (2017)Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multi-scaling in finance (2007)The Distribution of Realized Exchange Rate Volatility (2001)Volatility Is Rough (2018)
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References

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  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1996Statistics for Long-Memory Processes.2,708 cited
  • 1998Wavelet analysis of long-range-dependent traffic957 cited
  • 1989On the spectrum of fractional Brownian motions442 cited
  • 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
  • 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient411 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2001Magnitude and Sign Correlations in Heartbeat Fluctuations398 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2004Ranking efficiency for emerging markets209 cited
  • 2000Long-Range Dependence in Daily Stock Volatilities142 cited
  • 2006Ranking market efficiency for stock markets: A nonlinear perspective137 cited
  • 2004Ranking efficiency for emerging equity markets II☆131 cited
  • 2003Long-range correlations and nonstationarity in the Brazilian stock market130 cited

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  • 2004Testing for time-varying long-range dependence in volatility for emerging markets124 cited
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    • 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE415 cited