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Deterministic nonlinearity in the stock returns of major European equity markets and the United States
16 references·2 citing·36 second hop
Deterministic nonlinearity in the stock returns of major European equity markets and the United States (1998)Deterministic nonlinearity in the stock r…Conditional Heteroskedasticity and Global Stock Return Distributions (1994)Conditional Heteroskedasticit…Patterns in Three Centuries of Stock Market Prices (1993)Patterns in Three Centuries o…NONLINEARITIES IN EMERGING FOREIGN CAPITAL MARKETS (1993)NONLINEARITIES IN EMERGING FO…Implications of Nonlinear Dynamics for Financial Risk Management (1993)Implications of Nonlinear Dyn…Testing for nonlinear dependence in daily stock indices (1992)Testing for nonlinear depende…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Chaos and order in the capital markets: a new view of cycles, prices, and market volatility (1992)Chaos and order in the capita…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Price Reversals, Bid-Ask Spreads, and Market Efficiency (1990)Price Reversals, Bid-Ask Spre…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Nonstationary expected returns (1989)Nonstationary expected returnsNonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …International chaos? (1988)International chaos?International Portfolio Diversification and the Inter-Temporal Stability of International Stock Market Relationships, 1957-78 (1981)International Portfolio Diver…THE STATIONARITY OF INTER‐COUNTRY CORRELATION COEFFICIENTS: A NOTE (1980)THE STATIONARITY OF INTER‐COU…A search for long‐range dependence and chaotic structure in Indian stock market (2011)A search for long‐range depen…A chaos analysis for Greek and Turkish equity markets (2010)A chaos analysis for Greek an…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The equity premium: A puzzle (1985)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Introductory Econometrics for Finance (2008)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Stock returns and the weekend effect (1980)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Default Risk in Equity Returns (2004)Asset Prices in an Exchange Economy (1978)Analysis of Financial Time Series (2006)Measuring security price performance (1980)Using daily stock returns (1985)Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance (1994)The Short-Run Dynamics of the Price Adjustment to New Information (1995)Order imbalance, liquidity, and market returns (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)An Empirical Analysis of Stock Prices in Major Asian Markets and the United States (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Portfolio selection and skewness: Evidence from international stock markets (1997)A case study on using neural networks to perform technical forecasting of forex (2000)Some comments on Hurst exponent and the long memory processes on capital markets (2008)On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)Modeling and Forecasting Realized Volatility (2003)
this work references cited by second hop

References

  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1989Nonstationary expected returns475 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 1990Price Reversals, Bid-Ask Spreads, and Market Efficiency275 cited
  • 1993Implications of Nonlinear Dynamics for Financial Risk Management210 cited
  • 1981International Portfolio Diversification and the Inter-Temporal Stability of International Stock Market Relationships, 1957-78100 cited
  • 1993Patterns in Three Centuries of Stock Market Prices89 cited
  • 1980THE STATIONARITY OF INTER‐COUNTRY CORRELATION COEFFICIENTS: A NOTE66 cited
  • 1992Testing for nonlinear dependence in daily stock indices64 cited
  • 1988International chaos?51 cited
  • 1993NONLINEARITIES IN EMERGING FOREIGN CAPITAL MARKETS49 cited

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  • 1994Conditional Heteroskedasticity and Global Stock Return Distributions39 cited
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    • 2011A search for long‐range dependence and chaotic structure in Indian stock market54 cited
    • 2010A chaos analysis for Greek and Turkish equity markets17 cited