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Fractional integration in daily stock market indices at Jordan's Amman stock exchange
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
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  • 1992Efficient Tests for an Autoregressive Unit Root4,279 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,412 cited
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  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,297 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1991Long-Term Memory in Stock Market Prices

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1,756 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
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