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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.identifier.citationTABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for predictability in equity returns for European Transition Markets. Economic Systems, v. 30, n. 1, p. 56-78, 2006.pt_BR
dc.description.abstractThis paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ variance ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to test for long-range dependence, and find evidence of such. Furthermore, we find evidence of strong time-varying long-range dependence in these economies stock returns, which is in linewith evidence of multifractality of equity returns.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:17Z (GMT). No. of bitstreams: 5 Testing for predictability in equity returns for European Transition Markets.pdf: 1021311 bytes, checksum: f2bf36bcf3529259923a7b04e9dd987a (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2006en
dc.rightsAcesso Abertopt_BR
dc.subjectEuropean transition economiespt_BR
dc.subjectHurst exponentspt_BR
dc.subjectLong memorypt_BR
dc.subjectVariance ratiopt_BR
dc.titleTesting for predictability in equity returns for European transition marketspt_BR
dc.journalEconomic Systemspt_BR
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