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Applied Economics Letters Volume 13, 2006 - Issue 2
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Original Articles

The long-range dependence phenomena in asset returns: the Chinese case

Daniel O. Cajueiro Universidade Católica de Brasília – Mestrado em Economia de Empresas, SGAN 916, Módulo B – Asa Norte, DF 70790-160, Brazil
&
Benjamin M. Tabak Universidade Católica de Brasília – Mestrado em Economia de Empresas, SGAN 916, Módulo B – Asa Norte, DF 70790-160, Brazil; Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 andar, DF 70074-900, BrazilCorrespondence[email protected]
Pages 131-133 | Published online: 02 Jun 2010

References

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  • Cajueiro , DO and Tabak , BM . 2004b . Ranking efficiency for emerging markets, . Chaos, Solitons and Fractals , 22 : 349 – 52 .
  • Matteo , TD , Aste , T and Dacorogna , MM . 2003 . Scalling behaviours in differently developed markets, . Physica A , 324 : 183 – 88 .
  • Matteo , TD , Aste , T and Dacorogna , MM . 2005 . Long-term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development, . Forthcoming in Journal of Banking and Finance , 29 ( 4 ) : 827 – 51 .
  • Montanari , A , Taqqu , MS and Teverovsky , V . 1999 . Estimating long-range dependence in the presence of periodicity, . Mathematical and Computer Modelling , 29 : 217 – 28 .
  • Robinson , PM . 1995 . Gaussian semiparametric estimation of long-range dependence, . The Annals of Statistics , 23 : 1630 – 61 .
  • Sun , Q and Tong , WHS . 2000 . The effect of market segmentation on stock prices: the China syndrome, . Journal of Banking and Finance , 24 : 1875 – 902 .
  • Tabak , BM . 2003 . The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case, . Applied Financial Economics , 13 : 369 – 78 .

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