Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange
By Epaminondas Panas. 2001
104 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics
View Paper: https://www.semanticscholar.org/paper/d186fd355d6a8e013f24a253c4e7ebef25c11c7c
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
- Aurelio Fernández Bariviera
- Miloslav S. Vosvrda
- Ladislav Kristoufek
- Marcelo R. Naiouf
- Mar'ia Jos'e Basgall
- Waldo Hasperué
- Tetsuya Takaishi
- Paraskevi Katsiampa
In Finance
- Miloslav S. Vosvrda
- Ladislav Kristoufek
- Marcelo R. Naiouf
- Aurelio Fernández Bariviera
- Mar'ia Jos'e Basgall
- Waldo Hasperué
- Ayoub Ammy-Driss
- Matthieu Garcin
In Statistical and Nonlinear Physics
- Aurelio Fernández Bariviera
- Miloslav S. Vosvrda
- Ladislav Kristoufek
- Tetsuya Takaishi
- Paraskevi Katsiampa
Citations in the corpus
- Some stylized facts of the Bitcoin market (2017, background): “Also long memory behavior in the Greek market was found by Panas [46].”
- Measuring capital market efficiency: Global and local correlations structure (2012, background): “Looking at a different frequency, a significantly long memory was found for weekly returns of a large number of Greek stocks [40].”
- Some comments on Hurst exponent and the long memory processes on capital markets (2008, unknown): “[22] in Athens Stock Exchange, Ref.”