Long range dependence in daily stock returns
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DOI: 10.1080/09603100410001673603
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- Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018.
"Is market fear persistent? A long-memory analysis,"
Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin 1670, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series 6534, CESifo.
- Schadner, Wolfgang, 2020. "An idea of risk-neutral momentum and market fear," Finance Research Letters, Elsevier, vol. 37(C).
- Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
- J. Cunado & L. A. Gil-Alana & F. Perez de Gracia, 2007. "Testing for stock market bubbles using nonlinear models and fractional integration," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1313-1321.
- A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.
- Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
- Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.
- Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
- Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
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