Results 21 to 30 of about 3,038,976 (302)
EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
Copernican Journal of Finance & Accounting, 2021 The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time
Anju Bala, Kapil Gupta
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Comparing of Volatility Transmission Model with Consideration of Long Memory Effect; Case Study: Three Selected Industry Index [PDF]
تحقیقات مالی, 2013 When the past observations are correlated with future observations and their correlation is significant, the time series has long memory. In this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated.
Seyed Mohammad Seyedhosseini +1 more
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Journal of Economic Dynamics and Control, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On the validity of resampling methods under long memory [PDF]
, 2016 For long-memory time series, inference based on resampling is of crucial importance, since the asymptotic distribution can often be non-Gaussian and is difficult to determine statistically.
Bai, Shuyang, Taqqu, Murad S.
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, 2000 Long-memory in economics and finance is an important research topic as several economic variables exhibit the main characteristics of long-memory processes, i.e., a significant dependence between very distant observations and a pole in the neighborhood of the zero frequency of their spectrum. In particular, returns on financial assets are uncorrelated,
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An ANOVA-type test for multiple change points in the mean of long memory time sequence
Xi'an Gongcheng Daxue xuebao, 2021 In order to study the multiple change points test of the mean of linear long memory, the ANOVA statistics was constructed and the limit distribution was proved under the hypothesis condition.
Dou LIU, Wenzhi ZHAO
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Long memory via networking [PDF]
Econometrica, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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İzmir İktisat Dergisi, 2023 Hisse senedi piyaysasında fiyat oluşurken menkul kıymete ilişkin tüm bilgiler, fiyat oluşumunu etkilemektedir. Hisse senedi piyasalarında uzun hafızanın varlığı, ilgili piyasaların zayıf formda etkin olmadığını göstermektedir. Bu çalışmada, 01/09/2008-30/
Savaş Tarkun
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SSRN Electronic Journal, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ibragimov, R, Lentzas, G
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The structure of contemporaneous price-volume relationships in financial markets
Managerial Economics, 2014 The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading volumes of companies listed on the CAC40 and FTSE100. The authors establish that the mean values of respective measures are different
Henryk Gurgul, Robert Syrek
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