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Long Memory in Economics
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Long Memory in Economics (2006)Long Memory in EconomicsThe impact of inflation rate on stock market returns: evidence from Kenya (2018)The impact of inflation rate …The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…An economic and financial exploratory (2012)An economic and financial exp…On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010)On the complicated price dyna…Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence (2009)Long-range dependence in the …Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates (2009)Heterogeneous speculators, en…ARCH(∞) Models and Long Memory Properties (2009)ARCH(∞) Models and Long Memor…A Framework for CAPM with Heterogeneous Beliefs (2009)A Framework for CAPM with Het…The functional central limit theorem for a family of GARCH observations with applications (2008)The functional central limit …Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens (2008)Commonality in the LME alumin…Power-law behaviour, heterogeneity, and trend chasing (2007)Power-law behaviour, heteroge…Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns (2007)Fractals or I.I.D.: Evidence …An evolutionary game theory explanation of ARCH effects (2006)An evolutionary game theory e…The impulse response function of the long memory GARCH process (2005)The impulse response function…The General Theory of Employment, Interest and Money. (1936)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Unit root testing for bubbles: A resurrection? (2008)From standard to evolutionary finance: a literature survey (2018)The Variation of Certain Speculative Prices (1963)Long-Term Memory in Stock Market Prices (1991)The variation of certain speculative prices (1997)Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility (2009)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The fine structure of volatility feedback II: Overnight and intra-day effects (2014)From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Testing Efficiency of the London Metal Exchange: New Evidence (2018)A Rational Route to Randomness (1997)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach (2016)A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations (2023)Noise Trader Risk in Financial Markets (1990)Examining the effectiveness of price limits in an artificial stock market (2010)Financial crises and interacting heterogeneous agents (2010)Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 (2014)Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1988)Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)
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  • 2007Power-law behaviour, heterogeneity, and trend chasing102 cited
  • 2010On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders83 cited
  • 2009Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates80 cited
  • 2009Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence70 cited
  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns47 cited
  • 2008Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens35 cited
  • 2008The functional central limit theorem for a family of GARCH observations with applications32 cited
  • 2006An evolutionary game theory explanation of ARCH effects32 cited
  • 2005The impulse response function of the long memory GARCH process31 cited
  • 2009ARCH(∞) Models and Long Memory Properties27 cited
  • 2009A Framework for CAPM with Heterogeneous Beliefs26 cited
  • 2018The impact of inflation rate on stock market returns: evidence from Kenya24 cited

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2012
An economic and financial exploratory
21 cited