Empirical evidence of long-range correlations in stock returns

By Pilar Grau-Carles. 2000

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Some stylized facts of the Bitcoin market (2017, methodology): “by [31], this method avoids spurious detection of long-range dependence due to nonstationary data.”
The inefficiency of Bitcoin revisited: a dynamic approach (2017, methodology): “Since then, several methods (both parametric and non-parametric) have been developed to calculate the Hurst exponent. We advocate for the use of the Detrended Fluctuation Analysis (DFA) method developed by Peng et al. (1994) because, as highlighted by Grau-Carles (2000), it avoids the spurious detec”
Multi-scaling in finance (2007, methodology): “…and Porter-Hudak 1983); the (m, k)-Zipf method (Zipf 1949); the Average Wavelet Coefficient Method (Mehrabi et al. 1997, Simonsen et al. 1998, Percival and Walden 2000, Gençay et al. 2001); and the ARFIMA estimation by exact maximum likelihood (ML) (Sowell 1992, Ellis 1999, Grau-Carles 2000).”