Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
Year of publication: |
2005
|
---|---|
Authors: | Cajueiro, Daniel O. ; Tabak, Benjamin M. ; Souza, Nathalia A. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 351.2005, 2, p. 512-522
|
Publisher: |
Elsevier |
Subject: | Long-range dependence | Market microstructure | Emerging equity markets | Local Whittle | Market closures |
-
Characterizing bid–ask prices in the Brazilian equity market
Cajueiro, Daniel O., (2007)
-
Long-range dependence in Indian stock market : a study of Indian sectoral indices
Kumar, Dilip, (2014)
-
Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market
Batten, Jonathan A., (2005)
- More ...
-
Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
Souza, Sergio R.S., (2006)
-
Fluctuation dynamics in US interest rates and the role of monetary policy
Cajueiro, Daniel O., (2010)
-
Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship
Tabak, Benjamin M., (2011)
- More ...