Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

FURTHER EVIDENCE OF LONG MEMORY IN THE SOUTH AFRICAN STOCK MARKET

16 references·1 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
1982Trends and random walks in macroeconmic time series4,708 cited
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
1996Long memory processes and fractional integration in econometrics1,879 cited
2001Long memory and regime switching1,162 cited
1997Markov-Switching Vector Autoregressions583 cited
1978Essentials of Investments.350 cited
2000Identifying Bull and Bear Markets in Stock Returns320 cited
2007Wavelet analysis of stock returns and aggregate economic activity200 cited
2002Long memory in stock returns: some international evidence156 cited
1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter156 cited
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets116 cited
2005The CAPM and value at risk at different time-scales95 cited

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

2001Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator89 cited

Cited by

2023How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis15 cited