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Type: Artigo
Title: Testing for long range dependence in banking equity indices
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: 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.
Citation: 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.
Access Type: Acesso Aberto
Document date: 2005
Appears in Collections:PPG - Revistas e Artigos Científicos

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