Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
Year of publication: |
2005
|
---|---|
Authors: | Cajueiro, Daniel O. ; Tabak, Benjamin M. ; Souza, Nathalia A. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 351.2005, 2, p. 512-522
|
Publisher: |
Elsevier |
Subject: | Long-range dependence | Market microstructure | Emerging equity markets | Local Whittle | Market closures |
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