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Fractal market hypothesis and Markov regime switching model : a possible synthesis and integration
Doorasamy, Mishelle; Sarpong, Prince Kwasi - In: International journal of economics and financial issues … 8 (2018) 1, pp. 93-100
Persistent link: https://www.econbiz.de/10011955466
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Fractal market hypothesis : evidence for nine Asian forex markets
Kumar, Anoop S.; Jayakumar, Chaithanya; Kamaiah, Bandi - In: Indian economic review : official journal of Delhi … 52 (2017) 1/2, pp. 181-192
Persistent link: https://www.econbiz.de/10012225813
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Multiscale optimal portfolios using CAPM fractal regression : estimation for emerging stock markets
Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Post-communist economies 32 (2020) 1, pp. 77-112
Persistent link: https://www.econbiz.de/10012206647
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Investigation of fractal market hypothesis in emerging markets : evidence from the MINT stock markets
Karaömer, Yunus - In: Organizations and markets in emerging economies 13 (2022) 2/26, pp. 467-489
This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return...
Persistent link: https://www.econbiz.de/10014532178
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The efficiency of the Polish zloty exchange rate market : the uncovered interest parity and fractal analysis approaches
Czech, Katarzyna; Pietrych, Łukasz - In: Risks : open access journal 9 (2021) 8, pp. 1-17
applying two independent approaches, one based on the Uncovered Interest Parity theory, and another based on the fractal …
Persistent link: https://www.econbiz.de/10012612368
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Efficiency in cryptocurrency markets : new evidence
López-Martín, Carmen; Muela, Sonia Benito; Arguedas, … - In: Eurasian economic review : a journal in applied … 11 (2021) 3, pp. 403-431
Persistent link: https://www.econbiz.de/10012616004
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Dynamic efficiency of stock markets and exchange rates
Sensoy, Ahmet; Tabak, Benjamin Miranda - In: International review of financial analysis 47 (2016), pp. 353-371
Persistent link: https://www.econbiz.de/10011624263
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Are the top six cryptocurrencies efficient? : evidence from time-varying long memory
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Doğan, Buhari - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3730-3740
Persistent link: https://www.econbiz.de/10013330753
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Dynamic analysis of calendar anomalies in cryptocurrency markets : evidences of adaptive market hypothesis
López-Martín, Carmen - In: Spanish journal of finance & accounting : the official … 52 (2023) 4, pp. 559-592
Persistent link: https://www.econbiz.de/10014415952
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14
The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...
Persistent link: https://www.econbiz.de/10012173261