Please use this identifier to cite or link to this item:
https://repositorio.ucb.br:9443/jspui/handle/123456789/7582| 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 |
| URI: | http://twingo.ucb.br:8080/jspui/handle/10869/289 https://repositorio.ucb.br:9443/jspui/handle/123456789/7582 |
| Document date: | 2005 |
| Appears in Collections: | PPG - Revistas e Artigos Científicos |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Testing for Long-range dependence in banking equity indices.pdf | 101.27 kB | Adobe PDF | View/Open |
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