Testing for time-varying long-range dependence in volatility for emerging markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2004.08.030 ◽

2005 ◽

Vol 346 (3-4) ◽

pp. 577-588 ◽

Author(s):

Daniel O. Cajueiro ◽

Benjamin M. Tabak

Keyword(s):

Emerging Markets ◽

Long Range Dependence ◽

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Multivariate tempered stable model with long-range dependence and time-varying volatility

Frontiers in Applied Mathematics and Statistics ◽

10.3389/fams.2015.00001 ◽

2015 ◽

Vol 1 ◽

Author(s):

Young Shin Kim

Keyword(s):

Long Range Dependence ◽

Stable Model ◽

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Time-varying long range dependence in market returns of FEAS members

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2013.05.004 ◽

2013 ◽

Vol 53 ◽

pp. 39-45 ◽

Author(s):

A. Sensoy

Keyword(s):

Long Range Dependence ◽

Time Varying ◽

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Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility

Energy Economics ◽

10.1016/j.eneco.2006.06.007 ◽

2007 ◽

Vol 29 (1) ◽

pp. 28-36 ◽

Author(s):

Benjamin M. Tabak ◽

Daniel O. Cajueiro

Keyword(s):

Crude Oil ◽

Long Range Dependence ◽

Time Varying ◽

Oil Markets ◽

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Time-varying long-range dependence in US interest rates

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2006.04.012 ◽

2007 ◽

Vol 34 (2) ◽

pp. 360-367 ◽

Author(s):

Daniel O. Cajueiro ◽

Benjamin M. Tabak

Keyword(s):

Interest Rates ◽

Long Range Dependence ◽

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Testing for time-varying long-range dependence in real state equity returns

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2006.11.023 ◽

2008 ◽

Vol 38 (1) ◽

pp. 293-307 ◽

Author(s):

Daniel O. Cajueiro ◽

Benjamin M. Tabak

Keyword(s):

Equity Returns ◽

Long Range Dependence ◽

Time Varying ◽

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Time-varying long-range dependence in stock market returns and financial market disruptions – a case of eight European countries

Applied Economics Letters ◽

10.1080/13504851.2011.608637 ◽

2012 ◽

Vol 19 (10) ◽

pp. 953-957 ◽

Author(s):

Silvo Dajcman

Keyword(s):

Stock Market ◽

Financial Market ◽

European Countries ◽

Long Range Dependence ◽

Time Varying ◽

Market Returns ◽

Stock Market Returns

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Time-varying long range dependence in energy futures markets

Energy Economics ◽

10.1016/j.eneco.2014.09.023 ◽

2014 ◽

Vol 46 ◽

pp. 318-327 ◽

Author(s):

Ahmet Sensoy ◽

Erk Hacihasanoglu

Keyword(s):

Futures Markets ◽

Long Range Dependence ◽

Time Varying ◽

Energy Futures ◽

Energy Futures Markets

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Analyzing Long Range Dependence in Stock Markets of India

Indian Journal Of Applied Research ◽

10.15373/2249555x/august2014/87 ◽

2011 ◽

Vol 4 (8) ◽

pp. 345-348

Author(s):

Prashant Joshi ◽

Keyword(s):

Stock Markets ◽

Long Range Dependence

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Estimating Time-Varying Currency Betas: New Evidence from Nine Developed and Emerging Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2315940 ◽

2013 ◽

Author(s):

Ling Long ◽

Albert K.C. Tsui ◽

Zhaoyong Zhang

Keyword(s):

Emerging Markets ◽

Time Varying ◽

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Estimation of a Time-Varying Parameter from Long Range Dependent Data

SSRN Electronic Journal ◽

10.2139/ssrn.3653458 ◽

2020 ◽

Author(s):

Michael Tseng

Keyword(s):

Dependent Data ◽

Time Varying ◽

Time Varying Parameter

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