Alvarez-Ramirez, J., J. Alvarez, E. Rodriguez and G. Fernandez-Anaya. 2008. Time-varying Hurst exponent for US stock markets. Physica A. 387, 6159—6169 Ausloos, M. 2000. Statistical physics in foreign exchange currency and stock markets. Physica A, 285, 48-65.
Ausloos, N. Vandewalle, P. Boveroux, A. Minguet and K. Ivanova. 1999. Applications of statistical physics to economic and financial topics. Physica A. 274, 229-240.
- Bachelier, L. 1964. Theory of Speculation, em P. Cootner ed.: The Random Character of Stock Prices (Cambridge, MIT Press, originally published in 1900).
Paper not yet in RePEc: Add citation now
- Brock W, J Scheinkman, W Dechert and B. LeBaron. 1996. A Test for Independence based on the Correlation Dimension. Econometric Reviews. 15, 197-235.
Paper not yet in RePEc: Add citation now
Campbell, J. 1987. Stock Returns and the Term Structure. Journal of Financial Economics. 18, 373-399.
Chakraborti, A,. I, Toke, M. Patriarca and F. Abergel (2011). Econophysics review: I. Empirical facts, Quantitative Finance, 11(7), pp. 991-1012 Cizeau P, Y. Liu, M. Meyer, C. Peng and H. Stanley. 1997. Correlations in Economic Time Series. arXiv:condmat /9706021v1.
Cont, R. 2001. Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues. Quantitative Finance. I, 223236.
- Crato, N. 1994. Some international evidence regarding the stochastic memory of stock returns. Applied Financial Economics 1(4), pp. 33-39.
Paper not yet in RePEc: Add citation now
- Darbellay, G. 1998a. Predictability: an Information-Theoretic Perspective, Signal Analysis and Prediction. A. Procházka, J. UhlÃr, P.J.W. Rayner and N.G. Kingsbury, Birkhauser eds., Boston, 249-262.
Paper not yet in RePEc: Add citation now
- Darbellay, G. 1998b. An Adaptative Histogram Estimator for the Mutual Information. UTIA Research Report, n. 1889, Acad. Sc., Prague.
Paper not yet in RePEc: Add citation now
Darbellay, G. and D. Wuertz. 2000. The Entropy as a Tool for Analysing Statistical Dependence's in Financial Time Series. Physica A. 287, 429-439.
- DionÃsio, A., R. Menezes and D. Mendes. 2006. Entropy-Based Independence Test. Nonlinear Dynamics. 44, 351--357.
Paper not yet in RePEc: Add citation now
Engle, R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation, Econometrica, 50, pp. 987-1008 Fama, E. 1963.Mandelbrot and the Stable Paretian Hypothesis. Journal of Business. 36 (4), 420-429.
Fama, E. 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance. 25 (5), 383-417.
Fernandes, M. 2001. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes. Working Paper.
Fernandes, M. and B. Neri (2010). Nonparametric entropy-based tests of independence between stochastic processes. Econometric Reviews, 29, 276–306.
Granger, C. and J. Lin. 1994. Using the Mutual Information Coefficient to Identify Lags in Nonlinear Models. Journal of Time Series Analysis. 15 (4), 371-384.
- Granger, C. and O. Morgenstein. 1964. Spectral Analysis of New York Stock Market Prices, in P. Cootner ed.: The Random Character of Stock Prices (MIT Press, Cambridge, originally published in 1963).
Paper not yet in RePEc: Add citation now
Granger, C., E. Maasoumi and J. Racine. 2004. A Dependence Metric for Possibly Nonlinear Processes. Journal of Time Series Analysis, 25 (5), 649-669.
Jaroszewicz, S., M. Mariani and M. Ferraro. 2005. Long correlations and truncated Levy walks applied to the study Latin-American market indices. Physica A. 355, 461-474.
- Kendall, M. 1953. The Analysis of Economic Time-Series. Journal of The Royal Statistical Society. 116, 11-25.
Paper not yet in RePEc: Add citation now
Maasoumi, E. and J. Racine. 2002. Entropy and Predictability of Stock Market Returns. Journal of Econometrics. 107, 291-312.
Mandelbrot, B. 1964. The Variation of Certain Speculative Prices, in P. Cootner ed.: The Random Character of Stock Prices (Cambridge, MIT Press, originally published in 1963).
Mariani, M., I. Florescu, M. and E. Ncheuguim. 2009. Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data. Physica A. 388, 1659-1664.
McLeod, A. and W. Li. 1983. Diagnostic Checking ARMA Time Series Models using Squared-Residual Autocorrelations. Journal of Time Series Analysis. 4, 269-273.
Menezes, R., A. DionÃsio and H. Hassani (2012) On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries, The Quarterly Review of Economics and Finance (forthcoming), http://dx.doi.org/10.1016/j.qref.2012.10.002.
- Moore, A. 1964. Some Characteristics of Changes in Commom Stock Prices, in P. Cootner ed.: The Random Character of Stock Prices (MIT Press, Cambridge).
Paper not yet in RePEc: Add citation now
Muchnik, L., A. Bunde and S. Havlin. 2009. Long term memory in extreme returns of financial time series. Physica A. 388, 4145-4150.
- Osborne, M. 1964. Brownian Motion in the Stock Prices, in P. Cootner ed.: The Random Character of Stock Prices (MIT Press, Cambridge, originally published in 1959).
Paper not yet in RePEc: Add citation now
- Pagan, A. (1990), The econometrics of financial markets. Journal of Empirical Finance, 3(1), pp. 15-102.
Paper not yet in RePEc: Add citation now
- Peng, C., S.Buldyrev, S. Havlin, M. Simons, H. Stanley and A. Goldberger. 1994. Mosaic organization of DNA nucleotides. Physical Review E. 49 (2), 1685-1689.
Paper not yet in RePEc: Add citation now
Perron, P. 1997, Further Evidence on Breaking Trend Functions in Macroeconomic Variables. Journal of Econometrics. 80 (2), 355-385.
Perron, P., T. Vogelsang. 1992. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. Journal of Business and Economic Statistics. 10 (3), 301-320.
- Peters, E. 1996. Chaos and order in the capital markets. Wiley.
Paper not yet in RePEc: Add citation now
Scalas, E. 2005. Five Years of Continuous-Time Random Walks in Econophysics. Working Paper 051261 cond-mat, http://xxx.lanl.gov/cond-mat/0501261.
- Shannon, C. 1948. A Mathematical Theory of Communication. Bell Systems Tech. 27, 379-423, 623-656.
Paper not yet in RePEc: Add citation now
- Soofi, E. 1997. Information Theoretic Regression Methods, Fomby, T. e R. Carter Hill ed: Advances in Econometrics -Applying Maximum Entropy to Econometric Problems, 12 (Jai Press Inc., Londres).
Paper not yet in RePEc: Add citation now
- Tsay, R. 1986. Nonlinearity Tests for Time Series. Biometrika. 73, 461-466.
Paper not yet in RePEc: Add citation now
- Working, H. 1960. Note on the Correlation of First Differences of Averages in a Random Chain. Econometrica. 28 (4), 916-918.
Paper not yet in RePEc: Add citation now