Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7582
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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.date.accessioned2016-10-10T03:51:58Z-
dc.date.available2016-10-10T03:51:58Z-
dc.date.issued2005
dc.identifier.citationTABAK, 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.pt_BR
dc.identifier.urihttp://twingo.ucb.br:8080/jspui/handle/10869/289
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7582-
dc.description.abstractThis 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.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:58Z (GMT). No. of bitstreams: 5 Testing for Long-range dependence in banking equity indices.pdf: 103705 bytes, checksum: 916e98f72f2da291772565da5f676082 (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: 2005en
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dc.language.isoenpt_BR
dc.rightsAcesso Abertopt_BR
dc.titleTesting for long range dependence in banking equity indicespt_BR
dc.typeArtigopt_BR
dc.description.statusPublicadopt_BR
dc.journalChaos, Solitons and Fractalspt_BR
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