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Volumn 26, Issue 5, 2005, Pages 1423-1428

Testing for long range dependence in banking equity indices

Author keywords

[No Author keywords available]

Indexed keywords

CHAOS THEORY; MATHEMATICAL MODELS; MATRIX ALGEBRA; NONLINEAR EQUATIONS; RISK MANAGEMENT; SOLITONS; THEOREM PROVING;

EID: 20444455400     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2005.03.026     Document Type: Article
Times cited : (12)

References (13)
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    • Barkoulas, J.T.1    Baum, C.F.2
  • 2
    • 0032060281 scopus 로고    scopus 로고
    • Fractional dynamics in Japanese financial time series
    • J.T. Barkoulas, and C.F. Baum Fractional dynamics in Japanese financial time series Pacific-Basin Finance J 6 1998 115124
    • (1998) Pacific-Basin Finance J , vol.6 , pp. 115124
    • Barkoulas, J.T.1    Baum, C.F.2
  • 3
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heterocedasticity
    • B. Bollerslev Generalized autoregressive conditional heterocedasticity J Econometr 32 1986 307
    • (1986) J Econometr , vol.32 , pp. 307
    • Bollerslev, B.1
  • 4
    • 1642617444 scopus 로고    scopus 로고
    • The Hurst's exponent over time: Testing the assertion that emerging markets are becoming more efficient
    • D.O. Cajueiro, and B.M. Tabak The Hurst's exponent over time: testing the assertion that emerging markets are becoming more efficient Physica A 336 2004 521
    • (2004) Physica a , vol.336 , pp. 521
    • Cajueiro, D.O.1    Tabak, B.M.2
  • 6
    • 4544268418 scopus 로고    scopus 로고
    • Evidence of long range dependence in Asian equity markets: The role of liquidity and market restrictions
    • D.O. Cajueiro, and B.M. Tabak Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions Physica A 342 2004 656
    • (2004) Physica a , vol.342 , pp. 656
    • Cajueiro, D.O.1    Tabak, B.M.2
  • 8
    • 0000051984 scopus 로고
    • Autoregressive conditional heterocedasticity with estimates of the variance of UK inflation
    • R. Engle Autoregressive conditional heterocedasticity with estimates of the variance of UK inflation Econometrica 50 1982 987
    • (1982) Econometrica , vol.50 , pp. 987
    • Engle, R.1
  • 9
    • 0003586464 scopus 로고
    • Plenum Press New York
    • J. Feder Fractals 1988 Plenum Press New York
    • (1988) Fractals
    • Feder, J.1
  • 10
    • 0000759022 scopus 로고
    • Long term storage capacity of reservoirs
    • E. Hurst Long term storage capacity of reservoirs Trans Am Soc Civil Eng 116 1951 770
    • (1951) Trans Am Soc Civil Eng , vol.116 , pp. 770
    • Hurst, E.1
  • 11
    • 0000140166 scopus 로고
    • Long-term memory in stock market prices
    • A.W. Lo Long-term memory in stock market prices Econometrica 59 1991 1279
    • (1991) Econometrica , vol.59 , pp. 1279
    • Lo, A.W.1
  • 12
    • 0033133964 scopus 로고    scopus 로고
    • Estimating long range dependence in the presence of periodicity
    • A. Montanari, M.S. Taqqu, and V. Teverovsky Estimating long range dependence in the presence of periodicity Math Comput Modell 29 1999 217 228
    • (1999) Math Comput Modell , vol.29 , pp. 217-228
    • Montanari, A.1    Taqqu, M.S.2    Teverovsky, V.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.