Scaling laws in variance as a measure of long-term dependence
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Cited by:
- Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
- Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.
- Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011.
"A search for long-range dependence and chaotic structure in Indian stock market,"
Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
- Ritesh Kumar Mishra & Sanjay Sehgal & N.R. Bhanumurthy, 2011. "A search for long‐range dependence and chaotic structure in Indian stock market," Review of Financial Economics, John Wiley & Sons, vol. 20(2), pages 96-104, May.
- Jamdee, Sutthisit & Los, Cornelis A., 2007.
"Long memory options: LM evidence and simulations,"
Research in International Business and Finance, Elsevier, vol. 21(2), pages 260-280, June.
- Sutthisit Jamdee & Cornelis A. Los, 2005. "Long Memory Options: LM Evidence and Simulations," Finance 0505003, University Library of Munich, Germany.
- Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.
- In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
- Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, University Library of Munich, Germany.
- Karuppiah, Jeyanthi & Los, Cornelis A., 2005.
"Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997,"
International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
- Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, University Library of Munich, Germany.
- Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, University Library of Munich, Germany.
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