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On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange
16 references·11 citing·30 second hop
On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange (2004)On the long memory properties of emerging…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …Long memory and volatility persistence across BRICS stock markets (2022)Long memory and volatility pe…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach (2015)Inflation Persistence Before …Predicting BRICS stock returns using ARFIMA models (2014)Predicting BRICS stock return…Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market (2012)Real or spurious long memory …Mean reversion and long memory in African stock market prices (2010)Mean reversion and long memor…Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model (2010)Long memory and nonlinearity …Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets (2008)Nonlinearities in emerging st…Efficiency of the South African equity market (2008)Efficiency of the South Afric…Long memory in the volatility of an emerging equity market: The case of Turkey (2007)Long memory in the volatility…Long Memory in the Turkish Stock Market Return and Volatility (2007)Long Memory in the Turkish St…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Random matrix approach to cross correlations in financial data (2002)ARCH modeling in finance (1992)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The econometrics of financial markets (1996)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator

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617 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • Cited by

    • 2007Long memory in the volatility of an emerging equity market: The case of Turkey43 cited
    • 2007Long Memory in the Turkish Stock Market Return and Volatility39 cited
    • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
    • 2014Predicting BRICS stock returns using ARFIMA models35 cited
    • 2008Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets32 cited
    • 2010Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model32 cited
    • 2012Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market30 cited
    • 2022Long memory and volatility persistence across BRICS stock markets26 cited
    • 2010Mean reversion and long memory in African stock market prices23 cited
    • 2008Efficiency of the South African equity market23 cited
    • 2015Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach14 cited