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Long Memory in Stock Returns: Insights from the Indian Market
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Long Memory in Stock Returns: Insights from the Indian Market (2011)Long Memory in Stock Returns: Insights fr…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions (2004)Evidence of long range depend…Stock market prices and long-range dependence (1999)Stock market prices and long-…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Long memory and persistence in aggregate output (1989)Long memory and persistence i…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Long-term dependence in common stock returns (1977)Long-term dependence in commo…The expected value of the adjusted rescaled Hurst range of independent normal summands (1976)The expected value of the adj…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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long memory processes and fractional integration in econometrics (1996)Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Trends and random walks in macroeconmic time series (1982)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)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)The variation of certain speculative prices (1997)Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)Long memory relationships and the aggregation of dynamic models (1980)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)The Pricing of Options and Corporate Liabilities (1973)Rescaled variance and related tests for long memory in volatility and levels (2002)Arbitrage in fractional Brownian motion models (2003)The Long Memory of the Efficient Market (2004)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)
this work references cited by second hop

References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,412 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1981Fractional Differencing2,760 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,297 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1989Long memory and persistence in aggregate output546 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 1999Stock market prices and long-range dependence374 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 1976The expected value of the adjusted rescaled Hurst range of independent normal summands194 cited
  • 2004Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions183 cited

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