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A search for long memory in international stock market returns
16 references·16 citing·29 second hopsampled
A search for long memory in international stock market returns (1995)A search for long memory in international…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Forecasting the REITs and stock indices: Group Method of Data Handling Neural Network approach (2016)Forecasting the REITs and sto…Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries (2014)Global factors driving struct…Unifractality and multifractality in the Italian stock market (2009)Unifractality and multifracta…Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets (2009)Dual long memory property in …Efficient market hypothesis: evidence from a small open-economy (2008)Efficient market hypothesis: …Wavelet analysis of stock returns and aggregate economic activity (2007)Wavelet analysis of stock ret…Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market (2007)Long-run equilibrium, short-t…Testing for predictability in equity returns for European transition markets (2006)Testing for predictability in…Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets (2005)Long-Term Co-Memories and Sho…Ranking efficiency for emerging markets (2004)Ranking efficiency for emergi…On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange (2004)On the long memory properties…Mean reversion in stock prices: evidence from emerging markets (2003)Mean reversion in stock price…Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange (2001)Estimating fractal dimension …Empirical evidence of long-range correlations in stock returns (2000)Empirical evidence of long-ra…Long-term dependence in stock returns (1996)Long-term dependence in stock…Long term dependence in stock returns (1996)Long term dependence in stock…Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Econometric Analysis of Cross Section and Panel Data (2001)Some properties of time series data and their use in econometric model specification (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited

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1986
Does the Stock Market Rationally Reflect Fundamental Values?
1,149 cited

Cited by

  • 2004Ranking efficiency for emerging markets209 cited
  • 2007Wavelet analysis of stock returns and aggregate economic activity200 cited
  • 1996Long-term dependence in stock returns182 cited
  • 2000Empirical evidence of long-range correlations in stock returns114 cited
  • 2005Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets111 cited
  • 1996Long term dependence in stock returns98 cited
  • 2016Forecasting the REITs and stock indices: Group Method of Data Handling Neural Network approach92 cited
  • 2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange87 cited
  • 2014Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries83 cited
  • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
  • 2009Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets78 cited
  • 2007Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market78 cited
  • 2006Testing for predictability in equity returns for European transition markets77 cited
  • 2004On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange76 cited
  • 2003Mean reversion in stock prices: evidence from emerging markets75 cited
  • 2009Unifractality and multifractality in the Italian stock market73 cited