Testing for time-varying long-range dependence in volatility for emerging markets
By Daniel Oliveira Cajueiro, Benjamin Miranda Tabak. 2005
127 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4005e491ad97aebaf23dd443d6895642c3a95c6b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- K. Lim
- R. Brooks
- Benjamin Miranda Tabak
- Daniel Oliveira Cajueiro
- Ladislav Kristoufek
- Miloslav S. Vosvrda
- Aurelio Fernández Bariviera
- Yudong Wang
In Finance
- K. Lim
- R. Brooks
- Benjamin Miranda Tabak
- Daniel Oliveira Cajueiro
- Ladislav Kristoufek
- Miloslav S. Vosvrda
- Yudong Wang
- Li Liu
Citations in the corpus
- The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “Nevertheless, this voluminous literature does contain papers with significant evidence of long memory (see Barkoulas et al., 2000; Limam, 2003; Cajueiro and Tabak, 2005b; Christodoulou-Volos and Siokis, 2006; Kyaw et al., 2006; Serletis and Rosenberg, 2009).”
- Long-range dependence and multifractality in the term structure of LIBOR interest rates (2007, background): “and Tabak [1,2] for a discussion on long-range dependence on equity returns and volatility, respectively.”