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Applied Economics Letters Volume 19, 2012 - Issue 10
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Original Articles

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

Silvo Dajcman Department of Finance, Faculty of Economics and Business, University of Maribor, Razlagova 14, 2000, Maribor, SloveniaCorrespondence[email protected]
Pages 953-957 | Published online: 27 Sep 2011

Citations (13)

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Read on this site (3)

Guangying Liu, Lixin Zhang & Min Wang. (2018) Estimation of the Hurst parameter in the simultaneous presence of jumps and noise. Statistics 52:5, pages 1156-1192.
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Guangying Liu & Bing-Yi Jing. (2018) On Estimation of Hurst Parameter Under Noisy Observations. Journal of Business & Economic Statistics 36:3, pages 483-492.
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Guangying Liu, Lixin Zhang & Xinian Fang. (2017) Multipower variation from generalized difference for fractional integral processes with jumps. Communications in Statistics - Theory and Methods 46:19, pages 9662-9678.
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Articles from other publishers (10)

Ahmed Bouteska, Taimur Sharif & Mohammad Zoynul Abedin. (2023) COVID-19 and stock returns: Evidence from the Markov switching dependence approach. Research in International Business and Finance 64, pages 101882.
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Bikramaditya Ghosh, Spyros Papathanasiou & Dimitrios Kenourgios. (2022) Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads. Sustainability 14:21, pages 14056.
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Steve J. Bickley, Martin Brumpton, Ho Fai Chan, Richard Colthurst & Benno Torgler. (2021) The stabilizing effect of social distancing: Cross-country differences in financial market response to COVID-19 pandemic policies. Research in International Business and Finance 58, pages 101471.
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Paulo Ferreira. (2018) Dynamic long-range dependences in the Swiss stock market. Empirical Economics 58:4, pages 1541-1573.
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Matthias Jonas & Piotr Żebrowski. (2018) The crux with reducing emissions in the long-term: The underestimated “now” versus the overestimated “then”. Mitigation and Adaptation Strategies for Global Change 24:6, pages 1169-1190.
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Guang-ying Liu, Xin-sheng Zhang & Shi-bin Zhang. (2016) Testing long memory based on a discretely observed process. Applied Mathematics-A Journal of Chinese Universities 31:3, pages 253-268.
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Ata Assaf. (2016) MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008. Research in International Business and Finance 36, pages 222-240.
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Xiaojing Xi & Rogemar Mamon. (2013) Capturing the Regime-Switching and Memory Properties of Interest Rates. Computational Economics 44:3, pages 307-337.
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Xiaojing Xi, Rogemar Mamon & Matt Davison. (2012) A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation. Journal of Mathematical Modelling and Algorithms in Operations Research 13:1, pages 59-85.
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Xiaojing Xi & Rogemar Mamon. 2013. State-Space Models. State-Space Models 185 203 .

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