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Long term dependence in stock returns
16 references·6 citing·37 second hop
Long term dependence in stock returns (1996)Long term dependence in stock returnsMean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesLong memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…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…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Analysis of Economic Time-Series-Part I: Prices (1953)The Analysis of Economic Time…MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 (2015)MENA stock market volatility …Long memory and level shifts in REITs returns and volatility (2015)Long memory and level shifts …Are European equity markets efficient? New evidence from fractal analysis (2011)Are European equity markets e…Long Memory in the Turkish Stock Market Return and Volatility (2007)Long Memory in the Turkish St…Multi-Fractality in Foreign Currency Markets (2002)Multi-Fractality in Foreign C…Long-term memory in stock market volatility (2000)Long-term memory in stock mar…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Differencing (1981)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Specification Tests in Econometrics (1978)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Does the Stock Market Overreact?7,569 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
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited

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  • 1953The Analysis of Economic Time-Series-Part I: Prices831 cited
  • Cited by

    • 2002Multi-Fractality in Foreign Currency Markets76 cited
    • 2011Are European equity markets efficient? New evidence from fractal analysis68 cited
    • 2007Long Memory in the Turkish Stock Market Return and Volatility39 cited
    • 2000Long-term memory in stock market volatility31 cited
    • 2015Long memory and level shifts in REITs returns and volatility29 cited
    • 2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 200829 cited