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Long memory in a small stock market

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1996Long memory processes and fractional integration in econometrics1,879 cited
2008Long Memory Relationships and the Aggregation of Dynamic Models357 cited
1999Non-stationary log-periodogram regression271 cited
1995A search for long memory in international stock market returns236 cited
1993BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER203 cited
2001Long‐term memory in stock market returns: international evidence197 cited
2000Long memory in the Greek stock market191 cited
1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES174 cited
2002Long memory in stock returns: some international evidence156 cited
1997Another look at long memory in common stock returns89 cited
1994Some international evidence regarding the stochastic memory of stock returns88 cited
2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange87 cited
1999Long Memory in Emerging Market Stock Returns43 cited

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Long memory and outliers in stock market returns

63 cited