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Empirical evidence of long-range correlations in stock returns · Study

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ArticleEmpirical evidence of long-range correlations in stock returns

Pilar Grau Carles2000

Article2000

Empirical evidence of long-range correlations in stock returns

Pilar Grau Carles

114 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 1991Long-Term Memory in Stock Market Prices 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1999Statistical properties of the volatility of price fluctuations 1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications 1992Modeling long-run behavior with the fractional ARIMA model

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2008Multifractal structure in Latin-American market indices 2011The cross-correlations of stock markets based on DCCA and time-delay DCCA 2010Commodity predictability analysis with a permutation information theory approach 2005Application of multifractal measures to Tehran price index 2018Multifractal analysis of Bitcoin market 2008Long memory features in the high frequency data of the Korean stock market

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Year2000

Typearticle

Published2000-12-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations114

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(00)00378-2

openalex_workW2124127726

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