Citations (30)
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Xiang Wu, Liang Wu & Shujuan Chen. (2022) Long memory and efficiency of Bitcoin during COVID-19. Applied Economics 54:4, pages 375-389.
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Liang Wu & Shujuan Chen. (2020) Long memory and efficiency of Bitcoin under heavy tails. Applied Economics 52:48, pages 5298-5309.
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Kunal Saha, Vinodh Madhavan & Chandrashekhar G. R.. (2020) Pitfalls in long memory research. Cogent Economics & Finance 8:1.
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Articles from other publishers (20)
Naliniprava Tripathy. (2022) Long memory and volatility persistence across BRICS stock markets. Research in International Business and Finance, pages 101782.
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Donald B. Percival & Andrew T. Walden. 2020. Spectral Analysis for Univariate Time Series. Spectral Analysis for Univariate Time Series.
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Jun Liu, Rohit Deo & Clifford Hurvich. (2019)
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Geoffrey Ngene, Ann Nduati Mungai & Allen K. Lynch. (2018) Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility. Review of Pacific Basin Financial Markets and Policies 21:02, pages 1850008.
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Geoffrey Ngene, Kenneth A. Tah & Ali F. Darrat. (2017) Long memory or structural breaks: Some evidence for African stock markets. Review of Financial Economics 34, pages 61-73.
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Ezgi Avci-Surucu, A. Kursat Aydogan & Doganbey Akgul. (2016) Bidding structure, market efficiency and persistence in a multi-time tariff setting. Energy Economics 54, pages 77-87.
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Violetta Dalla. (2015) Power transformations of absolute returns and long memory estimation. Journal of Empirical Finance 33, pages 1-18.
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Sang-Kyu Choi. (2014) Empirical Study of the Long-Term Memory Effect of the KOSPI200 Earning rate volatility. Journal of the Korea Academia-Industrial cooperation Society 15:12, pages 7018-7024.
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Lei Zhang. (2014) Testing for long memory volatility of Chinese stock markets with FIGARCH model. Testing for long memory volatility of Chinese stock markets with FIGARCH model.
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Jan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal KulikJan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal Kulik. 2013. Long-Memory Processes. Long-Memory Processes
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Sang Hoon Kang, Chongcheul Cheong & Seong-Min Yoon. (2010) Long memory volatility in Chinese stock markets. Physica A: Statistical Mechanics and its Applications 389:7, pages 1425-1433.
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John Elder & Hyun J. Jin. (2007) Long memory in commodity futures volatility: A wavelet perspective. Journal of Futures Markets 27:5, pages 411-437.
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Clifford M. Hurvich, Eric Moulines & Philippe Soulier. (2005) Estimating Long Memory in Volatility. Econometrica 73:4, pages 1283-1328.
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Ramazan Gencay, Faruk Selcuk & Brandon Whitcher. (2003) Asymmetry of Information Flow between Volatilities Across Time Scales. SSRN Electronic Journal.
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John Elder, Robert J. Elliott & Hong Miao. (2011) Fractional Differencing in Discrete Time. SSRN Electronic Journal.
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Frank Nielsen & Per Skaarup Frederiksen. (2008) Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes. SSRN Electronic Journal.
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Per Skaarup Frederiksen, Frank Nielsen & Morten Ørregaard Nielsen. (2008) Local Polynomial Whittle Estimation of Perturbed Fractional Processes. SSRN Electronic Journal.
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