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Memories, heteroscedasticity, and price limit in Currency futures markets
16 references·5 citing·48 second hop
Memories, heteroscedasticity, and price limit in Currency futures markets (1992)Memories, heteroscedasticity, and price l…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…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…Time Series Regression with a Unit Root (1987)Time Series Regression with a…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…The origin of predictable behavior (1983)The origin of predictable beh…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Long-term dependence in common stock returns (1977)Long-term dependence in commo…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)Statistical Methodology for N…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 (2015)MENA stock market volatility …Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets (2009)Fuzzy adaptive decision-makin…Dependence and mean reversion in stock prices: The case of the MENA region (2005)Dependence and mean reversion…Feedforward versus recurrent neural networks for forecasting monthly japanese yen exchange rates (1996)Feedforward versus recurrent …The Nature of the Firm (1937)The Structure of Scientific Revolutions (1963)An agenda for the study of institutions (1986)Prospect theory: An analysis of decision under risk (1988)Institutions and economic growth: An historical introduction (1989)The Approach of Institutional Economics (2007)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Trading Volume (1986)Market reaction to anticipated announcements (1991)Evidence on the speed of convergence to market efficiency (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some long‐run properties of geophysical records (1969)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Tests for Hurst Effect (1987)The variation of certain speculative prices (1997)Asset Prices in an Exchange Economy (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Nonparametric exchange rate prediction? (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)An Equilibrium Model of Asset Trading with Sequential Information Arrival (1981)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)
this work references cited by second hop

References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1983The origin of predictable behavior1,164 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 1981

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The "Speculative Efficiency" Hypothesis
440 cited
  • 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
  • Cited by

    • 2009Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets53 cited
    • 1996Feedforward versus recurrent neural networks for forecasting monthly japanese yen exchange rates42 cited
    • 2005Dependence and mean reversion in stock prices: The case of the MENA region38 cited
    • 2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 200829 cited
    • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited