Tests for the validity of the weak-form EMH in the Italian stock market are presented, based on examination of the fractal properties of the log returns series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or...

We test for departures from normal and independent and identically distributed (NIID) log returns, when log returns under the alternative hypothesis are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite...

We test for departures from normal and independent and identically distributed (NIID) log returns, for log returns under the alternative hypothesis that are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite...

The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log returns series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality....

The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional tests of long memory tend to over-reject the null...

Tests for the validity of the weak-form EMH in the Italian stock market are presented, based on examination of the fractal properties of the log returns series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or...