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Do emerging markets become more efficient as they develop? : long memory persistence in equity indices

Hull, Matthew; McGroarty, Frank - In: Emerging markets review 18 (2014), pp. 45-61

Persistent link: https://www.econbiz.de/10010417536

Investing in mutual funds : are you paying for performance or for the ties of the manager?

Siriopoulos, Costas; Skaperda, Maria - In: Bulletin of applied economics 7 (2020) 2, pp. 153-164

Persistent link: https://www.econbiz.de/10012813848

Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

Long memory and efficiency of Bitcoin under heavy tails

Wu, Liang; Chen, Shujuan - In: Applied economics 52 (2020) 48, pp. 5298-5309

Persistent link: https://www.econbiz.de/10012307228

Long memory and fractality among global equity markets : a multivariate wavelet approach

Bhandari, Avishek; Kamaiah, Bandi - In: Journal of quantitative economics 19 (2021) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012489848

An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177

Persistent link: https://www.econbiz.de/10012176113

Improvement in Hurst exponent estimation and its application to financial markets

Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21

This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the most...

Persistent link: https://www.econbiz.de/10013413110

Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return

Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216

Persistent link: https://www.econbiz.de/10011291298

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

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