1. EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA. (2020). Gupta, Kapil ; Bala, Anju.
   In: Copernican Journal of Finance & Accounting.
   RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:25-43.

   Full description at Econpapers || Download paper

2. Modeling Long Range Dependence in Wheat Food Price Returns. (2019). Musunuru, Naveen.
   In: International Journal of Economics and Finance.
   RePEc:ibn:ijefaa:v:11:y:2019:i:9:p:46.

   Full description at Econpapers || Download paper

3. TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS. (2013). Maria, Pece Andreea ; Simona, Mutu ; Anuta, LUDUSAN Emilia .
   In: Annals of Faculty of Economics.
   RePEc:ora:journl:v:1:y:2013:i:1:p:1113-1124.

   Full description at Econpapers || Download paper

1. Baillie R.,(1996) Long Memory Process and Fractional Integration in Econometrics Journal of Econometrics, Vol. 37, No.1, pp. 5-60.
   Paper not yet in RePEc: Add citation now
   

2. Bekaert, G.; and Harvey, C.; (1995) Time Varying World Market Integration Journal of Finance, Vol., 50, pp. 403-444.

3. Bierens, H., (1997) Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationary, With an Application to the US Price Level and Interest Rate Journal of Econometrics, Vol.8 1, pp.29-64.

4. Bollerslev T., and Mikkelsen H., (1996) Modeling and Pricing Long Memory in Stock Market Volatility Journal of Econometrics, Vol. 37, No.1, pp. 15 1-184.

5. Breitung, J. and Gourieroux, C., (1997) Rank Tests for Unit Roots Journal of Econometrics, Vol.8 1, pp.7-28.

6. Brock W., Dechert W., and Scheinkman J., (1996) A Test For Independence Based on Correlation Dimension Econometric Reviews, Vol. lS,pp.l97-23S.
   Paper not yet in RePEc: Add citation now
   
7. DeJong, D.; Nankervis, J.; Savin, N.; and Whiteman, C.; (1992a) Integration Versus Trend Stationarity in Macroeconomic Time Series Econometrica, 60, 423434.
   Paper not yet in RePEc: Add citation now
   
8. Dicky, D.A; and Fuller W.A; (1979) Distribution of the Estimators for Autoregressive Time Series With a Unit Root Journal of American Statistical Association, 74, 427-431.
   Paper not yet in RePEc: Add citation now
   
9. Dicky, D.A; and Fuller W.A; (1981) Liklihood Ratio Statistics For Autoregressive Time Series With a Unit Root, Econometrica, Vol 49, pp.1057-1072.
   Paper not yet in RePEc: Add citation now
   

10. Diebold, F., and Rudebusch G., (1991b) On the Power of Dickey-Fuller Tests Against Fractional Alternatives Econometric Letters, Vol. ,3 5, pp., 155-160.

11. Ding Z., and Granger C., (1996) Modeling Volatility Persistance of Speculative Returns: ANew Approach Journal of Econometrics, Vol. 37, No.1, pp. 185-216.
    Paper not yet in RePEc: Add citation now
    
12. Fama, E., (1965) The Behavior of Stock Market Prices Journal of Business, vol., 38, 34-105 Geweke, J., Porter-Hudak, 5., (1983) The Estimation and Application of Long Memory Time Series Models, Journal of Time Series Analysis, Vol 4, pp.221-237.
    Paper not yet in RePEc: Add citation now
    

13. Granger C., and Ding Z., (1996) Varieties of Long Memory Models Journal of Econometrics, Vol. 37, No.1, pp. 6 1-78. Granger C., Inoue T., and Morin N.,(i997) Nonlinear Stochastic Trends Journal of Econometrics, Vol.8i, pp.65-92. Granger C., and Newbold, P.,(i986): Forecasting Economic Time Series, 2nd ed.,(Academic Press, San Francisco, CA). Green W., (i993), Econometric Analysis, 2nd Edition, McMillan Publishing Co., New York. Kocenda, E.(200i) An Alternative to the BDS test: Integration Across The Correlation Integral. Econometric Review, Vol.,20, pp.337-35i.

1. Subcontracting in International Asset Management: New Evidence on Market Integration. (2015). Massa, Massimo ; Schumacher, David.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10465.

   Full description at Econpapers || Download paper

2. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

   Full description at Econpapers || Download paper

3. Theory and practice of corporate finance: Evidence and distinctive features in Latin America. (2012). Sarria-Allende, Virginia ; Preve, Lorenzo A. ; Maquieira, Carlos P..
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:13:y:2012:i:2:p:118-148.

   Full description at Econpapers || Download paper

4. Home Bias in Open Economy Financial Macroeconomics. (2012). Rey, Helene ; Coeurdacier, Nicolas.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:8746.

   Full description at Econpapers || Download paper

5. Home Bias in Open Economy Financial Macroeconomics. (2011). Rey, Helene ; Coeurdacier, Nicolas.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17691.

   Full description at Econpapers || Download paper

6. Diversifying market and default risk in high grade sovereign bond portfolios. (2011). Rustaman, Vidhya ; Brennan, Myles ; Kobor, Adam.
   In: BIS Papers chapters.
   RePEc:bis:bisbpc:58-04.

   Full description at Econpapers || Download paper

7. Global Yield Curves and Sovereign Bond Market Integration. (2009). Xiaoneng, ZHU ; Rahman, Shahidur.
   In: Economic Growth Centre Working Paper Series.
   RePEc:nan:wpaper:0902.

   Full description at Econpapers || Download paper

8. International Diversification: A Copula Approach. (2009). de la Pena, Victor ; Chollete, Loran ; Lu, Ching-Chih.
   In: UiS Working Papers in Economics and Finance.
   RePEc:hhs:stavef:2009_027.

   Full description at Econpapers || Download paper

9. International Diversification: An Extreme Value Approach. (2009). de la Pena, Victor ; Chollete, Loran ; Lu, Ching-Chih.
   In: UiS Working Papers in Economics and Finance.
   RePEc:hhs:stavef:2009_026.

   Full description at Econpapers || Download paper

10. CHINAS FINANCIAL MARKET INTEGRATION WITH THE WORLD. (2009). Johansson, Anders.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-010.

    Full description at Econpapers || Download paper

11. Testing for Convergence in Stock Markets: A Non-Linear Factor Approach. (2009). Caporale, Guglielmo Maria ; Kuzin, Vladimir ; Erdogan, Burcu .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2845.

    Full description at Econpapers || Download paper

12. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2009). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2545.

    Full description at Econpapers || Download paper

13. Stock market integration in the Latin American markets: further evidence from nonlinear modeling. (2009). Million, Nicolas ; JAWADI, Fredj ; AROURI, Mohamed ; Mohamed EL HEDI AROURI, .
    In: Papers.
    RePEc:arx:papers:0905.3874.

    Full description at Econpapers || Download paper

14. North Africa Stock Markets: Analysis of Unit Root and Long Memory Process. (2009). Onour, Ibrahim.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0906.

    Full description at Econpapers || Download paper

15. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2008). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
    In: Working papers.
    RePEc:uct:uconnp:2008-49.

    Full description at Econpapers || Download paper

16. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

    Full description at Econpapers || Download paper

17. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Kraussl, Roman ; Canto, Bea.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

    Full description at Econpapers || Download paper

18. Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter. (2006). Siliverstovs, Boriss ; Neumann, Anne ; Hirschhausen, Christian.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:11:p:727-732.

    Full description at Econpapers || Download paper

19. Comovements in International Stock Markets. (2006). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
    RePEc:icr:wpicer:3-2006.

    Full description at Econpapers || Download paper

20. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen.
    In: Working Papers.
    RePEc:ecl:upafin:06-6.

    Full description at Econpapers || Download paper

21. The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?. (2006). Sarkissian, Sergei ; Errunza, Vihang ; Carrieri, Francesca.
    In: Working Papers.
    RePEc:ecl:upafin:06-4.

    Full description at Econpapers || Download paper

22. Mean-Variance Convergence around the World. (2006). Lee, Jin Soo ; Eun, Cheol S..
    In: Working Papers.
    RePEc:ecl:upafin:06-1.

    Full description at Econpapers || Download paper

23. Financial Globalization, Governance, and the Evolution of the Home Bias. (2006). Warnock, Francis ; Stulz, René ; Kho, Bong-Chan .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-12.

    Full description at Econpapers || Download paper

24. Free trade agreements and equity market integration: the case of the US and Jordan. (2005). Maghyereh, Aktham ; Al-Zoubi, Haitham ; Al-Zuobi, Hiatham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:14:p:995-1005.

    Full description at Econpapers || Download paper

25. International Capital Flows in a World of Greater Financial Integration. (2005). Hnatkovska, Viktoria ; Evans, Martin.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:419.

    Full description at Econpapers || Download paper

26. Capital Controls, Sudden Stops and Current Account Reversals. (2005). Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11170.

    Full description at Econpapers || Download paper

27. International Stock Return Comovements. (2005). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
    In: Working Papers.
    RePEc:ecl:upafin:06-3.

    Full description at Econpapers || Download paper

28. European Union enlargement and equity markets in accession countries. (2005). Podpiera, Richard ; Dvorak, Tomas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005552.

    Full description at Econpapers || Download paper

29. Measuring market and inflation risk premia in France and in Germany. (2005). Guene, Stephane ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005436.

    Full description at Econpapers || Download paper

30. Banks� participation in the Eurosystem auctions and money market integration. (2005). Scalia, Antonio ; Bruno, Giuseppe ; Ordine, Ernesto Maurizio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_562_05.

    Full description at Econpapers || Download paper

31. International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects.. (2004). El Hedi, AROURI Mohamed .
    In: International Finance.
    RePEc:wpa:wuwpif:0410001.

    Full description at Econpapers || Download paper

32. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

33. Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events.. (2004). lucey, brian ; Aggarwal, Raj ; O'Rourke, Kevin ; Muckley, Cal.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp019.

    Full description at Econpapers || Download paper

34. Privatization and Stock Market Liquidity. (2004). Schindele, Ibolya ; Nicodano, Giovanna ; de Jong, Frank ; Bortolotti, Bernardo.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0023.

    Full description at Econpapers || Download paper

35. Financial openness and growth: short-run gain, long-run pain?. (2004). Fratzscher, Marcel ; Bussiere, Matthieu.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004348.

    Full description at Econpapers || Download paper

36. Cross-board listings, capital controls, and equity flows to emerging markets. (2003). Warnock, Francis ; Edison, Hali.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:770.

    Full description at Econpapers || Download paper

37. Financial development and stock returns: A cross country analysis. (2002). Dellas, Harris ; Hess, Martin K..
    In: Diskussionsschriften.
    RePEc:ube:dpvwib:dp0218.

    Full description at Econpapers || Download paper

38. Expropriation Risk and Return in Global Equity Markets. (2002). Bansal, Ravi ; Dahlquist, Magnus.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0008.

    Full description at Econpapers || Download paper

39. The Halloween Indicator, Sell in May and Go Away: Another Puzzle. (2002). Bouman, Sven ; Jacobsen, Ben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:92:y:2002:i:5:p:1618-1635.

    Full description at Econpapers || Download paper

40. Does Financial Liberalization Spur Growth?. (2001). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8245.

    Full description at Econpapers || Download paper

41. Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time. (2000). Madhavan, Ananth ; Domowitz, Ian ; Glen, Jack.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2000-322.

    Full description at Econpapers || Download paper

42. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?. (2000). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
    In: Working Papers.
    RePEc:ecl:upafin:00-2.

    Full description at Econpapers || Download paper

43. How Much Did Excess Debt Contribute to the 1997 Currency Crisis in Korea?. (1999). Qin, Duo.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp407.

    Full description at Econpapers || Download paper

44. Political Risk, Financial Crisis, and Market Volatility. (1999). Mei, Jianping.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-049.

    Full description at Econpapers || Download paper

45. Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel. (1998). Garcia, René.
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:74:y:1998:i:3:p:467-484.

    Full description at Econpapers || Download paper

46. L’intégration des marchés émergents et la modélisation des rendements des actifs risqués. (1997). Boyer, Marcel ; Cherkaoui, Mouna ; Ghysels, Eric.
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:73:y:1997:i:1:p:311-330.

    Full description at Econpapers || Download paper

47. Re-emerging Markets. (1997). Jorion, Philippe ; Goetzmann, William.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5906.

    Full description at Econpapers || Download paper

48. The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US. (1996). Karolyi, G. ; Stephen R. Foerster and, .
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9606.

    Full description at Econpapers || Download paper

49. Conditional Asset Allocation in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4623.

    Full description at Econpapers || Download paper

50. Predictable Risk and Returns in Emerging Markets. (1994). Harvey, Campbell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4621.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 00:27:12 || Missing content? Let us know