The impact of the financial crisis on the long-range memory of European corporate bond and stock markets
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- Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
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Cited by:
- Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
- Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
- Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018.
"Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
- Lanouar Charfeddine & Karim Ben Khediri & Goodness C. Aye & Rangan Gupta, 2017. "Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data," Working Papers 201771, University of Pretoria, Department of Economics.
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More about this item
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2016-06-14 (European Economics)
- NEP-FMK-2016-06-14 (Financial Markets)
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