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Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability
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Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability (2023)Brazilian stock-market efficiency before …Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis (2021)Comparative efficiency of gre…On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)On the Efficiency of Foreign …Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)Impact of COVID-19 outbreak o…How the cryptocurrency market has performed during COVID 19? A multifractal analysis (2020)How the cryptocurrency market…Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil (2020)Asymmetric dependence between…Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Efficiency, multifractality, …Another look at measures of forecast accuracy (2006)Another look at measures of f…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Long-term memories of develop…Forecasting seasonals and trends by exponentially weighted moving averages (2004)Forecasting seasonals and tre…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multi-scaling in finance (2007)Forbidden patterns, permutation entropy and stock market inefficiency (2009)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Human behavior and the principle of least effort (1949)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multifractal analysis of financial markets: a review (2019)Automatic Time Series Forecasting: The forecast Package for R (2008)Statistical and Machine Learning forecasting methods: Concerns and ways forward (2018)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)25 years of time series forecasting (2006)Exponential smoothing: The state of the art—Part II (2006)A new metric of absolute percentage error for intermittent demand forecasts (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2006Another look at measures of forecast accuracy5,736 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2004Forecasting seasonals and trends by exponentially weighted moving averages1,732 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
  • 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient411 cited
  • 2020How the cryptocurrency market has performed during COVID 19? A multifractal analysis294 cited
  • 2020Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil291 cited
  • 2020Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices289 cited
  • 2018Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

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287 cited
  • 2020On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic247 cited
  • 2021Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis217 cited
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