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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.identifier.citationCAJUEIRO, Daniel O.; TABAK, Benjamin M. Possible causes of long-range dependence in the Brazilian stock market. Physica A, v. 345, 2005, pp. 635-645.pt_BR
dc.description.abstractWhile the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which comprises stocks traded in the Brazilian financial market (BOVESPA Index). The Hurst exponent here is considered as our measure of long-range dependence and it is evaluated by six different methods. We have found evidence of statistically significant rank correlation between specific variables of the Brazilian firms which subscribe stocks and the long-range dependence phenomena present in these stocks.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:53:00Z (GMT). No. of bitstreams: 5 Possible Causes of Long Range Dependence in the Brazilian Stock Market.pdf: 210221 bytes, checksum: da6c6fe86bcc4b583eeafdcbe372841c (MD5) license_url: 52 bytes, checksum: 2f32edb9c19a57e928372a33fd08dba5 (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) license_rdf: 24623 bytes, checksum: 378d22d8fe50e084ee2f354be78cbe62 (MD5) license.txt: 1887 bytes, checksum: 445d1980f282ec865917de35a4c622f6 (MD5) Previous issue date: 2004-08-11en
dc.publisherPhysica Apt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectEmerging marketspt_BR
dc.subjectHurst exponentpt_BR
dc.subjectLong-range dependencept_BR
dc.subjectRank correlationpt_BR
dc.titlePossible Causes of Long Range Dependence in the Brazilian Stock Marketpt_BR
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