-
1
-
-
84981461779
-
Bias in an estimator of the fractional difference parameter
-
Agiakloglou, C., Newbold, P. and Wohar, M. (1993) Bias in an estimator of the fractional difference parameter, Journal of Time Series Analysis, 14, 235-47.
-
(1993)
Journal of Time Series Analysis
, vol.14
, pp. 235-247
-
-
Agiakloglou, C.1
Newbold, P.2
Wohar, M.3
-
2
-
-
0000406839
-
Fractal structure in the capital markets revisited
-
Ambrose, B. W., Weinstock, E. and Griffiths, M. D. (1993) Fractal structure in the capital markets revisited, Financial Analysts Journal, May/June, 73-77.
-
(1993)
Financial Analysts Journal
, vol.MAY-JUNE
, pp. 73-77
-
-
Ambrose, B.W.1
Weinstock, E.2
Griffiths, M.D.3
-
3
-
-
0017295261
-
The expected value of the adjusted rescaled Hurst range of independent normal summands
-
Anis, A. A. and Lloyd, E. H. (1976) The expected value of the adjusted rescaled Hurst range of independent normal summands, Biometrika, 63, 111-16.
-
(1976)
Biometrika
, vol.63
, pp. 111-116
-
-
Anis, A.A.1
Lloyd, E.H.2
-
4
-
-
3142613117
-
Sectores bursátiles y riesgos diferenciales de la empresa española
-
Bachiller, A., Espitia, M. and Santamaria, R. (1992) Sectores bursátiles y riesgos diferenciales de la empresa española, Revista Española de Financiación y Contabilidad, XXI, 957-78.
-
(1992)
Revista Española de Financiación y Contabilidad
, vol.21
, pp. 957-978
-
-
Bachiller, A.1
Espitia, M.2
Santamaria, R.3
-
5
-
-
0017930667
-
Nonstationarity of the mean and the Hurst phenomenon
-
Boes, D. C and Salas, J. D. (1978) Nonstationarity of the mean and the Hurst phenomenon, Water Resources Research, 14(1), 135-43.
-
(1978)
Water Resources Research
, vol.14
, Issue.1
, pp. 135-143
-
-
Boes, D.C.1
Salas, J.D.2
-
6
-
-
0003621624
-
A test for independence based on the correlation dimension
-
University of Wisconsin at Madison, University of Houston and University of Chicago
-
Brock, W. A., Dechert, W. D. and Scheinkman, J. A. (1987) A test for independence based on the correlation dimension, Working Paper, University of Wisconsin at Madison, University of Houston and University of Chicago.
-
(1987)
Working Paper
-
-
Brock, W.A.1
Dechert, W.D.2
Scheinkman, J.A.3
-
7
-
-
0003566244
-
-
MIT Press. Cambridge, MA
-
Brock, W. A., Hsieh, D. A. and Lebaron, B. (1991) Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence, MIT Press. Cambridge, MA.
-
(1991)
Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence
-
-
Brock, W.A.1
Hsieh, D.A.2
Lebaron, B.3
-
9
-
-
84981440328
-
Test for fractional integration: A Monte Carlo investigation
-
Cheung, Y. W. (1993b) Test for fractional integration: a Monte Carlo investigation, Journal of Time Series Analysis, 14, 331-45.
-
(1993)
Journal of Time Series Analysis
, vol.14
, pp. 331-345
-
-
Cheung, Y.W.1
-
10
-
-
0002231124
-
Test for Hurst effect
-
Davies, R. B. and Harte, D. S. (1987) Test for Hurst effect, Biometrika, 74, 95-101.
-
(1987)
Biometrika
, vol.74
, pp. 95-101
-
-
Davies, R.B.1
Harte, D.S.2
-
12
-
-
84936823605
-
Permanent and temporary components of stock prices
-
Fama E. and French, K. (1988) Permanent and temporary components of stock prices. Journal of Political Economy, 96, 246-73.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 246-273
-
-
Fama, E.1
French, K.2
-
13
-
-
84986759400
-
The estimation and application of long memory time series models
-
Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-38.
-
(1983)
Journal of Time Series Analysis
, vol.4
, pp. 221-238
-
-
Geweke, J.1
Porter-Hudak, S.2
-
14
-
-
40749093037
-
Measuring the strangeness of the strange attractors
-
Grassberger, P. and Procaccia, I. (1983) Measuring the strangeness of the strange attractors, Physica, D9, 189-208.
-
(1983)
Physica
, vol.D9
, pp. 189-208
-
-
Grassberger, P.1
Procaccia, I.2
-
15
-
-
84986792205
-
An introduction to long-memory time series models and fractional differencing
-
Granger, C. W. J. and Joyeux, R. (1980) An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-29.
-
(1980)
Journal of Time Series Analysis
, vol.1
, pp. 15-29
-
-
Granger, C.W.J.1
Joyeux, R.2
-
17
-
-
0000934866
-
Modelling exchange rates: Long-run dependence versus conditional heteroscedasticity
-
Hauser, M. A., Kunst, R. M. and Reschenhofer, E. (1994) Modelling exchange rates: long-run dependence versus conditional heteroscedasticity, Applied Financial Economics, 4, 233-39.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 233-239
-
-
Hauser, M.A.1
Kunst, R.M.2
Reschenhofer, E.3
-
18
-
-
77956890381
-
Fractional differencing
-
Hosking, J. R. M. (1981) Fractional differencing, Biometrika, 68, 165-76.
-
(1981)
Biometrika
, vol.68
, pp. 165-176
-
-
Hosking, J.R.M.1
-
19
-
-
84977719043
-
Chaos and nonlinear dynamics: Applications to financial markets
-
Hsieh, D. A. (1991) Chaos and nonlinear dynamics: applications to financial markets, The Journal of Finance, 46, 1839-77.
-
(1991)
The Journal of Finance
, vol.46
, pp. 1839-1877
-
-
Hsieh, D.A.1
-
21
-
-
84959822288
-
Mean reversion in stock prices: A reappraisal of the empirical evidence
-
Kim, M. J., Nelson, C. R. and Startz, R. (1991) Mean reversion in stock prices: a reappraisal of the empirical evidence, Review of Economic Studies, 58, 515-28.
-
(1991)
Review of Economic Studies
, vol.58
, pp. 515-528
-
-
Kim, M.J.1
Nelson, C.R.2
Startz, R.3
-
22
-
-
0016092991
-
The Hurst phenomenon: A puzzle?
-
Klemes, V. (1974) The Hurst phenomenon: a puzzle?, Water Resources Research, 10, 675-88.
-
(1974)
Water Resources Research
, vol.10
, pp. 675-688
-
-
Klemes, V.1
-
23
-
-
0000845598
-
Discrimination between monotonie trends and long-range dependence
-
Kunsch, H. (1986) Discrimination between monotonie trends and long-range dependence, Journal of Applied Probability, 23, 1025-30.
-
(1986)
Journal of Applied Probability
, vol.23
, pp. 1025-1030
-
-
Kunsch, H.1
-
24
-
-
0000140166
-
Long-term memory in stock market prices
-
Lo, A. W. (1991) Long-term memory in stock market prices, Econometric a, 59, 1279-1313.
-
(1991)
Econometrica
, vol.59
, pp. 1279-1313
-
-
Lo, A.W.1
-
25
-
-
0002484986
-
Stock market prices do not follow random walks: Evidence from a simple specification test
-
Lo, A. W. and Mackinlay, C. (1988) Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies, 1, 41-66.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 41-66
-
-
Lo, A.W.1
Mackinlay, C.2
-
26
-
-
84963474898
-
Persistence in UK share returns: Some evidence from disaggregated data
-
MacDonald, R. and Power, D. M. (1993) Persistence in UK share returns: some evidence from disaggregated data, Applied Financial Economics, 3, 27-38.
-
(1993)
Applied Financial Economics
, vol.3
, pp. 27-38
-
-
MacDonald, R.1
Power, D.M.2
-
27
-
-
0017981445
-
Preservation of the rescaled adjusted range. Part 1, a reassessment of the Hurst phenomenon
-
McLeod, A. I. and Hipel, K. (1978) Preservation of the rescaled adjusted range. Part 1, a reassessment of the Hurst phenomenon, Water Resources Research 14, 491-508.
-
(1978)
Water Resources Research
, vol.14
, pp. 491-508
-
-
McLeod, A.I.1
Hipel, K.2
-
28
-
-
0000251502
-
Statistical methodology for nonperiodic cycles: From covariance to R/S analysis
-
Mandelbrot, B. B. (1972) Statistical methodology for nonperiodic cycles: from covariance to R/S analysis, Annals of Economic and Social Measurement, 1, 259-90.
-
(1972)
Annals of Economic and Social Measurement
, vol.1
, pp. 259-290
-
-
Mandelbrot, B.B.1
-
29
-
-
84897913178
-
Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence
-
Mandelbrot, B. B. and Wallis, J. R. (1969) Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence, Water Resources Research, 4, 967-88.
-
(1969)
Water Resources Research
, vol.4
, pp. 967-988
-
-
Mandelbrot, B.B.1
Wallis, J.R.2
-
30
-
-
0040597600
-
Assessing the predictability of UK stock market returns using statistics based on multiperiod returns
-
Mills, T. C. (1991) Assessing the predictability of UK stock market returns using statistics based on multiperiod returns, Applied Financial Economics 1, 241-45.
-
(1991)
Applied Financial Economics
, vol.1
, pp. 241-245
-
-
Mills, T.C.1
-
31
-
-
0001326347
-
Is there long-term memory in UK stock returns
-
Mills, T. C. (1993) Is there long-term memory in UK stock returns, Applied Financial Economics, 3, 303-6.
-
(1993)
Applied Financial Economics
, vol.3
, pp. 303-306
-
-
Mills, T.C.1
-
32
-
-
0000706085
-
A simple positive definite, heteroscedasticity and autocorrelation consistent covariance matrix
-
Newey, W. and West, K. (1987) A simple positive definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-5.
-
(1987)
Econometrica
, vol.55
, pp. 703-705
-
-
Newey, W.1
West, K.2
-
33
-
-
0002598586
-
Fractal structure in the capital markets
-
Peters, E. E. (1989): Fractal structure in the capital markets, Financial Analysts Journal, July, 32-37.
-
(1989)
Financial Analysts Journal
, vol.JULY
, pp. 32-37
-
-
Peters, E.E.1
-
35
-
-
0002044409
-
R/S analysis using logarithmic returns
-
Peters, E. E. (1992) R/S analysis using logarithmic returns, Financial Analysts Journal, Nov., 81-82
-
(1992)
Financial Analysts Journal
, vol.NOV
, pp. 81-82
-
-
Peters, E.E.1
-
37
-
-
0002158052
-
Mean reversion in stock prices: Evidence and implications
-
Poterba, J. M. and Summers, L. H. (1988) Mean reversion in stock prices: evidence and implications, Journal of Financial Economics, 22, 27-59.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 27-59
-
-
Poterba, J.M.1
Summers, L.H.2
-
38
-
-
0003103947
-
Testing for strong correlation and dynamic conditional heteroskedasticity in multiple regression
-
Robinson, P. M. (1991) Testing for strong correlation and dynamic conditional heteroskedasticity in multiple regression, Journal of Econometrics, 47, 67-84.
-
(1991)
Journal of Econometrics
, vol.47
, pp. 67-84
-
-
Robinson, P.M.1
-
39
-
-
19044371729
-
Testing for unit roots in autoregressive moving average models of unknown order
-
Said, S. E. and Dickey, D. A. (1984) Testing for unit roots in autoregressive moving average models of unknown order, Biometrika, 71, 599-607.
-
(1984)
Biometrika
, vol.71
, pp. 599-607
-
-
Said, S.E.1
Dickey, D.A.2
-
40
-
-
44049114907
-
Maximum likelihood estimation of stationary univariate fractionaly integrated time series models
-
Sowell, F. (1992a) Maximum likelihood estimation of stationary univariate fractionaly integrated time series models, Journal of Econometrics, 53, 165-88.
-
(1992)
Journal of Econometrics
, vol.53
, pp. 165-188
-
-
Sowell, F.1
-
41
-
-
44049120475
-
Modeling long-run behavior with the fractional ARIMA model
-
Sowell, F. (1992b) Modeling long-run behavior with the fractional ARIMA model, Journal of Monetary Economics, 29, 277-302.
-
(1992)
Journal of Monetary Economics
, vol.29
, pp. 277-302
-
-
Sowell, F.1
|