Non-extensive thermodynamics is one of the most intriguing physics new frontiers. A large number of researchers have been successfully finding connections between the new concepts introduced by this new field and other complex systems already presented. In particular, Borland [Phys. Rev. E 57...

This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices...

This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure of interest rates increases with maturity, suggesting that there exists...

While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the...

This paper presents new empirical evidence of the effect of periodic market closures in financial markets which is not available in the literature yet. In particular, employing closing and opening prices, we have found that the intensity of the long-range dependence phenomena presented in this...

This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most...

In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type...

In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to 2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of...

This paper tests whether volatility for equity returns for emerging markets possesses long-range dependence. Furthermore, the assertion of whether long-range dependence is time-varying is checked through a rolling sample approach. The empirical results suggest that there exists long-range...