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Tests of Long Memory: A Bootstrap Approach

Citations

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Cited by:

  1. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
  2. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  3. Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz, 2009. "On the long-term behavior of mutual fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 653-660.
  4. Souza, Sergio R. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2008. "Long memory testing for Fed Funds Futures’ contracts," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 180-186.
  5. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  6. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
  7. Wang, Tiansong & Wang, Jun & Zhang, Junhuan & Fang, Wen, 2011. "Voter interacting systems applied to Chinese stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2492-2506.
  8. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
  9. Cajueiro, Daniel O. & Tabak, Benjamin M., 2010. "Fluctuation dynamics in US interest rates and the role of monetary policy," Finance Research Letters, Elsevier, vol. 7(3), pages 163-169, September.
  10. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
  11. Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," Papers 1608.01895, arXiv.org, revised Mar 2018.
  12. Daye Li & Rongrong Li & Qiankun Sun, 2017. "How the heterogeneity in investment horizons affects market trends," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1473-1482, March.
  13. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  14. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
  15. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  16. Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," CREATES Research Papers 2016-21, Department of Economics and Business Economics, Aarhus University.
  17. Sobaci, Cihat & Sensoy, Ahmet & Erturk, Mutahhar, 2014. "Impact of short selling activity on market dynamics: Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 15(C), pages 53-62.
  18. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
  19. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  20. Sangram Keshari Jena & Aviral Kumar Tiwari & Buhari Doğan & Shawkat Hammoudeh, 2022. "Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3730-3740, July.
  21. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
  22. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for long-range dependence in world stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 37(3), pages 918-927.
  23. 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.
  24. Ouael EL JEBARI & Abdelati HAKMAOUI, 2017. "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, KSP Journals, vol. 4(4), pages 388-399, December.
  25. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  26. Mejra Festic & Alenka Kavkler & Silvo Dajcman, 2012. "Long memory in the Croatian and Hungarian stock market returns," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 30(1), pages 115-139.
  27. Murphy, A. & Izzeldin, M., 2009. "Bootstrapping long memory tests: Some Monte Carlo results," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
  28. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
  29. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
  30. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
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