Add to ORKGIn this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of economic shocks and short-range dependence in all the indices has triggered the spurious long-range dependence in our empirical results. It is also found that the modified approach estimation is robust under the presence of short-range dependence
We employ a number of parametric and non-parametric techniques to establish the existence of long-ra...
In this paper we show the degrees of persistence of the time series if eight European stock market i...
Purpose – The purpose of this paper is to examine the long memory property of equity returns and vol...
In this paper, a modified variance aggregated-time approach is used to examine the long-range depend...
In this paper, a modified variance aggregated-time approach is used to examine the long-range depend...
This paper tests whether volatility for equity returns for emerging markets possesses longrange depe...
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior ...
The long range dependence paradigm appears to be a suitable description of the data generating proce...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
We apply several tests to analyze the existence of long-term dependence in 10 Euro-pean stock indexe...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
A common feature of financial time series is their strong persistence. Yet, long memory may just be ...
The financial rates of return from Middle East and North African markets are found to be nonnormal, ...
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior ...
We employ a number of parametric and non-parametric techniques to establish the existence of long-ra...
In this paper we show the degrees of persistence of the time series if eight European stock market i...
Purpose – The purpose of this paper is to examine the long memory property of equity returns and vol...
In this paper, a modified variance aggregated-time approach is used to examine the long-range depend...
In this paper, a modified variance aggregated-time approach is used to examine the long-range depend...
This paper tests whether volatility for equity returns for emerging markets possesses longrange depe...
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior ...
The long range dependence paradigm appears to be a suitable description of the data generating proce...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
We apply several tests to analyze the existence of long-term dependence in 10 Euro-pean stock indexe...
© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other...
A common feature of financial time series is their strong persistence. Yet, long memory may just be ...
The financial rates of return from Middle East and North African markets are found to be nonnormal, ...
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior ...
We employ a number of parametric and non-parametric techniques to establish the existence of long-ra...
In this paper we show the degrees of persistence of the time series if eight European stock market i...
Purpose – The purpose of this paper is to examine the long memory property of equity returns and vol...