Testing for long range dependence in banking equity indices

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2005
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/289
https://repositorio.ucb.br:9443/jspui/handle/123456789/7582
Resumo: This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:58Z2016-10-10T03:51:58Z2005TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Long-range dependence in banking equity indices. Chaos, Solitons and Fractals , v. 26, n. 5, p. 1423-1428, 2005.http://twingo.ucb.br:8080/jspui/handle/10869/289https://repositorio.ucb.br:9443/jspui/handle/123456789/7582This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers.Made available in DSpace on 2016-10-10T03:51:58Z (GMT). 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dc.title.pt_BR.fl_str_mv Testing for long range dependence in banking equity indices
title Testing for long range dependence in banking equity indices
spellingShingle Testing for long range dependence in banking equity indices
Cajueiro, Daniel Oliveira
title_short Testing for long range dependence in banking equity indices
title_full Testing for long range dependence in banking equity indices
title_fullStr Testing for long range dependence in banking equity indices
title_full_unstemmed Testing for long range dependence in banking equity indices
title_sort Testing for long range dependence in banking equity indices
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.description.abstract.por.fl_txt_mv This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers.
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers.
publishDate 2005
dc.date.issued.fl_str_mv 2005
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:58Z
dc.date.available.fl_str_mv 2016-10-10T03:51:58Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Long-range dependence in banking equity indices. Chaos, Solitons and Fractals , v. 26, n. 5, p. 1423-1428, 2005.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/289
https://repositorio.ucb.br:9443/jspui/handle/123456789/7582
identifier_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Long-range dependence in banking equity indices. Chaos, Solitons and Fractals , v. 26, n. 5, p. 1423-1428, 2005.
url http://twingo.ucb.br:8080/jspui/handle/10869/289
https://repositorio.ucb.br:9443/jspui/handle/123456789/7582
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