메뉴 건너뛰기
Chaos, Solitons and Fractals
Volumn 31, Issue 4, 2007, Pages 995-1000
Long-range dependence and market structure
Author keywords

[No Author keywords available]
Indexed keywords

INDUSTRIAL ECONOMICS; MARKETING; METHOD OF MOMENTS; PROFESSIONAL ASPECTS; STATISTICAL METHODS;
EID: 33747609575     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2005.10.077     Document Type: Article
Times cited : (18)
References (12)
  • 1
    • 84977709851 scopus 로고
    • Trading mechanisms and stock returns: an empirical investigation
    • Amihud Y., and Mendelson H. Trading mechanisms and stock returns: an empirical investigation. Journal of Finance 42 (1987) 533-553
    • (1987) Journal of Finance , vol.42 , pp. 533-553
    • Amihud, Y.1    Mendelson, H.2
  • 2
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-654
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 3
    • 84977707376 scopus 로고
    • Simple technical trading rules and the stochastic properties of stock returns
    • Brock W., Lakonishok J., and LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 47 (1992) 1731-1764
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.1    Lakonishok, J.2    LeBaron, B.3
  • 4
    • 1642617444 scopus 로고    scopus 로고
    • The Hurst's exponent over time: testing the assertion that emerging markets are becoming more efficient
    • Cajueiro D.O., and Tabak B.M. The Hurst's exponent over time: testing the assertion that emerging markets are becoming more efficient. Physica A 336 (2004) 521-537
    • (2004) Physica A , vol.336 , pp. 521-537
    • 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
    • Cajueiro D.O., and Tabak B.M. Evidence of long-range dependence in asian equity markets: the role of liquidity and market restrictions. Physica A 342 (2004) 656-664
    • (2004) Physica A , vol.342 , pp. 656-664
    • Cajueiro, D.O.1    Tabak, B.M.2
  • 9
    • 0002484986 scopus 로고
    • Stock market prices do not follow random walks: evidence from a simple specification test
    • Lo A.W., and Mackinlay A.C. Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies 1 (1988) 41-66
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    Mackinlay, A.C.2
  • 10
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples: a Monte Carlo investigation
    • Lo A.W., and Mackinlay A.C. The size and power of the variance ratio test in finite samples: a Monte Carlo investigation. Journal of Econometrics 40 (1989) 203-238
    • (1989) Journal of Econometrics , vol.40 , pp. 203-238
    • Lo, A.W.1    Mackinlay, A.C.2
  • 11
    • 21344446855 scopus 로고
    • Gaussian semiparametric estimation of long-range dependence
    • Robinson P.M. Gaussian semiparametric estimation of long-range dependence. The Annals of Statistics 23 (1995) 1630-1661
    • (1995) The Annals of Statistics , vol.23 , pp. 1630-1661
    • Robinson, P.M.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.