Ranking efficiency for emerging markets

DOI10.1016/J.CHAOS.2004.02.005zbMath1090.91528OpenAlexW2062289616MaRDI QIDQ1766633

Daniel O. Cajueiro, Benjamin Miranda Tabak

Publication date: 8 March 2005

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://repositorio.ucb.br:9443/jspui/handle/123456789/7916

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (12)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ A simple and fast representation space for classifying complex time series ⋮ Measuring market efficiency: the Shannon entropy of high-frequency financial time series ⋮ Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA ⋮ Testing for long-range dependence in world stock markets ⋮ Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns ⋮ Testing for long range dependence in banking equity indices ⋮ Ranking efficiency for emerging equity markets. II ⋮ Inefficiency in Latin-American market indices ⋮ Dynamic hedging based on fractional order stochastic model with memory effect ⋮ Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility ⋮ Fractional order stochastic differential equation with application in European option pricing

Cites Work

• Long-term dependence in stock returns
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Long-Term Memory in Stock Market Prices

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