SCOPUS 정보 검색 플랫폼

European Physical Journal B

Volumn 60, Issue 1, 2007, Pages 111-121

Inefficiency in Latin-American market indices

(5) Zunino, L a,b,c Tabak, B M d Perez D G e Garavaglia, M a,c Rosso, O A f,g

a CENTRO DE INVESTIGACIONES OPTICAS (Argentina)

b UNIVERSIDAD NACIONAL DE LA PLATA (Argentina)

c FACULTAD DE CIENCIAS EXACTAS (Argentina)

d BANCO CENTRAL DO BRASIL (Brazil)

e PONTIFICIA UNIVERSIDAD CATÓLICA DE VALPARAÍSO (Chile)

f INSTITUTO DE CÁLCULO (Argentina)

g UNIVERSITY OF NEWCASTLE (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

HURST EXPONENT; STOCK MARKET INDICES;

PROBABILITY DISTRIBUTIONS; WAVELET ANALYSIS;

MARKETING;

EID: 37449010801 PISSN: 14346028 EISSN: 14346036 Source Type: Journal
DOI: 10.1140/epjb/e2007-00316-y Document Type: Article

Times cited : (43)

References (44)

1
- 18044403699
- M. Bȩben, A. Orłowski, Eur. Phys. J. B 20, 527 (2001)
- (2001) Eur. Phys. J. B , vol.20 , pp. 527
- Bȩben¹

2
- 0037562162
- T. Di Matteo, T. Aste, M.M. Dacorogna, Physica A 324, 183 (2003)
- (2003) Physica A , vol.324 , pp. 183
- Matteo¹

3
- 12444317691
- T. Di Matteo, T. Aste, M.M. Dacorogna, J. Bank. Fin. 29, 827 (2005)
- (2005) J. Bank. Fin. , vol.29 , pp. 827
- Matteo¹

4
- 0034509211
- P. Grau-Carles, Physica A 287, 396 (2000)
- (2000) Physica A , vol.287 , pp. 396
- Grau-Carles¹

5
- 0001292693
- T. Lux, Appl. Econom. Lett. 3, 701 (1996)
- (1996) Appl. Econom. Lett. , vol.3 , pp. 701
- Lux¹

6
- 0034394218
- B.K. Ray, R.S. Tsay, J. Bus. Econ. Stat. 18, 254 (2000)
- (2000) J. Bus. Econ. Stat. , vol.18 , pp. 254
- Ray¹

7
- 4644300439
- P. Sibbertsen, Empirical Econ. 29, 477 (2004)
- (2004) Empirical Econ. , vol.29 , pp. 477
- Sibbertsen¹

8
- 1642617444
- D.O. Cajueiro, B.M. Tabak, Physica A 336, 521 (2004)
- (2004) Physica A , vol.336 , pp. 521
- Cajueiro¹

9
- 10444235709
- D.O. Cajueiro, B.M. Tabak, Physica A 346, 577 (2005)
- (2005) Physica A , vol.346 , pp. 577
- Cajueiro¹

10
- 1842832071
- D.O. Cajueiro, B.M. Tabak, Solitons & Fractals 22, 349 (2004)
- (2004) Solitons & Fractals , vol.22 , pp. 349
- Cajueiro¹

11
- 4243153929
- D.O. Cajueiro, B.M. Tabak, Chaos, Solitons & Fractals 23, 671 (2005)
- (2005) Solitons & Fractals , vol.23 , pp. 671
- Cajueiro¹

12
- 27744459545
- B. Tóth, J. Kertész, Physica A 360, 505 (2006)
- (2006) Physica A , vol.360 , pp. 505
- Tóth¹

13
- 34248212886
- H.F. Coronel-Brizio, A.R. Hernández-Montoya, R. Huerta-Quintanilla, M. Rodríguez-Achach, Physica A 380, 391 (2007)
- (2007) Physica A , vol.380 , pp. 391
- Coronel-Brizio¹

14
- 33646472250
- B.M. Tabak, D.O. Cajueiro, Physica A 367, 319 (2006)
- (2006) Physica A , vol.367 , pp. 319
- Tabak¹

15
- 0003833285
- SIAM, Philadelphia
- I. Daubechies, Ten lectures on wavelets, SIAM, Philadelphia, 1992
- (1992) Ten Lectures on Wavelets
- Daubechies, I.¹

16
- 0003456805
- Academic Press
- S. Mallat, A wavelet tour of signal processing, 2nd edn. (Academic Press, 1999)
- (1999) A Wavelet Tour of Signal Processing, 2nd Edn.
- Mallat, S.¹

17
- 0003159396
- Wavelets for the analysis, estimation, and synthesis of scaling data
- edited by K. Park, W. Willinger (Wiley)
- P. Abry, P. Flandrin, M.S. Taqqu, D. Veitch, Wavelets for the analysis, estimation, and synthesis of scaling data, in: Self-similar Network Traffic and Performance Evaluation, edited by K. Park, W. Willinger (Wiley, 2000), pp. 39-87
- (2000) Self-similar Network Traffic and Performance Evaluation , pp. 39-87
- Abry, P.¹ Flandrin, P.² Taqqu, M.S.³ Veitch, D.⁴

18
- 0031700563
- P. Abry, D. Veitch, IEEE Trans. Inform. Theory 44, 2 (1998)
- (1998) IEEE Trans. Inform. Theory , vol.44 , pp. 2
- Abry¹

19
- 9544221056
- L. Zunino, D.G. Pérez, M. Garavaglia, O.A. Rosso, Fractals 12, 223 (2004)
- (2004) Fractals , vol.12 , pp. 223
- Zunino¹

20
- 33645143310
- L. Zunino, D.G. Pérez, M. Garavaglia, O.A. Rosso, Physica A 364, 79 (2006)
- (2006) Physica A , vol.364 , pp. 79
- Zunino¹

21
- 84864180890
- http://www.cubinlab.ee.mu.oz.au/~darryl/secondorder_code.html

22
- 0141888070
- R.L. Costa, G.L. Vasconcelos, Physica A 329, 231 (2003)
- (2003) Physica A , vol.329 , pp. 231
- Costa¹

23
- 5444248119
- A. Carbone, G. Castelli, H.E. Stanley, Physica A 344, 267 (2004)
- (2004) Physica A , vol.344 , pp. 267
- Carbone¹

24
- 0003879309
- Research Report RR-2645, INRIA
- R.F. Peltier, J. Lévy-Véhel, Multifractional Brownian motion: definition and preliminary results, Research Report RR-2645, INRIA (1995)
- (1995) Multifractional Brownian Motion: Definition and Preliminary Results
- Peltier, R.F.¹ Lévy-Véhel, J.²

25
- 0035575812
- S.V. Muniandy, S.C. Lim, R. Murugan, Physica A 301, 407 (2001)
- (2001) Physica A , vol.301 , pp. 407
- Muniandy¹

26
- 33645160523
- Ph.D. thesis, Laboratoire de Modélisation et Calcul - Institut d'Informatique el Mathématiques Appliquées de Grenoble
- J.-F. Coeurjolly, Statistical inference for fractional and multifractional Brownian motions, Ph.D. thesis, Laboratoire de Modélisation et Calcul - Institut d'Informatique el Mathématiques Appliquées de Grenoble, 2000
- (2000) Statistical Inference for Fractional and Multifractional Brownian Motions
- Coeurjolly, J.-F.¹

27
- 0034274661
- D. Veitch, M.S. Taqqu, P. Abry, Sign. Process. 80, 1971 (2000)
- (2000) Sign. Process. , vol.80 , pp. 1971
- Veitch¹

28
- 7444272552
- E. Bayraktar, H. Vincent Poor, K. Ronnie Sircar, Int. J. Theor. Appl. Finance 7, 615 (2004)
- (2004) Int. J. Theor. Appl. Finance , vol.7 , pp. 615
- Bayraktar¹

29
- 0345276870
- Wavelet based estimation of local Kolmogorov turbulence
- edited by P. Doukhan, G. Oppenheim, M.S. Taqqu (Birkhäuser, 2003)
- G. Papanicolaou, K. Sølna, Wavelet based estimation of local Kolmogorov turbulence, Long-Range Dependence: Theory and Applications, edited by P. Doukhan, G. Oppenheim, M.S. Taqqu (Birkhäuser, 2003), pp. 473-505
- Long-Range Dependence: Theory and Applications , pp. 473-505
- Papanicolaou, G.¹ Sølna, K.²

30
- 4243195484
- C. Tsallis, S.V.F. Levy, A.M.C. Souza, R. Maynard, Phys. Rev. Lett. 75, 3589 (1995)
- (1995) Phys. Rev. Lett. , vol.75 , pp. 3589
- Tsallis¹

31
- 5544288619
- C. Tsallis, D.J. Bukman, Phys. Rev. E 54, R2197 (1996)
- (1996) Phys. Rev. e , vol.54
- Tsallis, C.¹ Bukman, D.J.²

32
- 0041059062
- Z. Ding, C. Granger, R. Engle, J. Empir. Fin. 1, 83 (1993)
- (1993) J. Empir. Fin. , vol.1 , pp. 83
- Ding¹

33
- 84950424782
- M. Davidian, R.J. Carroll, J. Am. Stat. Association 82, 1079 (1987)
- (1987) J. Am. Stat. Association , vol.82 , pp. 1079
- Davidian¹

34
- 33846180098
- K.P. Lim, Physica A 376, 445 (2007)
- (2007) Physica A , vol.376 , pp. 445
- Lim¹

35
- 37449010918
- in press
- D.O. Cajueiro, B.M. Tabak, Chaos, Solitons & Fractals, in press
- Chaos, Solitons and Fractals
- Cajueiro, D.O.¹ Tabak, B.M.²

36
- 14344267760
- Y. Ashkenazy, P.C. Ivanov, S. Havlin, C.-K. Peng, A.L. Goldberger, H.E. Stanley, Phys. Rev. Lett. 86, 1900 (2001)
- (2001) Phys. Rev. Lett. , vol.86 , pp. 1900
- Ashkenazy¹

37
- 27244451143
- T. Kalisky, Y. Ashkenazy, S. Havlin, Phys. Rev. E 72, 011913 (2005)
- (2005) Phys. Rev. e , vol.72 , pp. 011913
- Kalisky¹

38
- 33644608071
- C.A. Bonilla, R. Romero-Meza, M.J. Hinich, Appl. Econ. Lett. 13, 195 (2006)
- (2006) Appl. Econ. Lett. , vol.13 , pp. 195
- Bonilla¹

39
- 0032628659
- M. Raberto, E. Scalas, G. Cuniberti, M. Riani, Physica A 269, 148 (1999)
- (1999) Physica A , vol.269 , pp. 148
- Raberto¹

40
- 33847319365
- C. Morana, Appl. Finan. Econ. Lett. 2, 361 (2006)
- (2006) Appl. Finan. Econ. Lett. , vol.2 , pp. 361
- Morana¹

41
- 34547320288
- R.T. Baillie, Y.-W. Han, R.J. Myers, J. Song, J. Futures Mark. 27, 643 (2007)
- (2007) J. Futures Mark. , vol.27 , pp. 643
- Baillie¹

42
- 0000501589
- B.B. Mandelbrot, J.W. Van Ness, SIAM Rev. 4, 422 (1968)
- (1968) SIAM Rev. , vol.4 , pp. 422
- Mandelbrot¹

43
- 84941476682
- P. Flandrin, IEEE Trans. Inform. Theory IT-35, 197 (1989)
- (1989) IEEE Trans. Inform. Theory , vol.IT-35 , pp. 197
- Flandrin, P.¹

44
- 0003203686
- Statistics for long-memory processes
- Chapman & Hall
- J. Beran, Statistics for long-memory processes, in: Monographs on Statistics and Applied Probability (Chapman & Hall, 1994), Vol. 61
- (1994) Monographs on Statistics and Applied Probability , vol.61
- Beran, J.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.