Possible causes of long-range dependence in the Brazilian stock market

Physica A: Statistical Mechanics and its Applications

Volumn 345, Issue 3-4, 2005, Pages 635-645

  Cajueiro, Daniel O ^a   Tabak, Benjamin M ^b  

^a UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

Emerging markets; Hurst exponent; Long range dependence; Rank correlation

Indexed keywords

DATA ACQUISITION; INVENTORY CONTROL; PROBLEM SOLVING; STATISTICAL METHODS;

EMERGING MARKETS; HURST EXPONENT; LONG-RANGE DEPENDENCE (LRD); RANK CORRELATION;

MARKETING;

EID: 9644291530     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(04)01005-2     Document Type: Article

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