Abadir, K.M., W. Distaso and L. Giraitis. 2007. Nonstationarity-extended local Whittle estimation. Journal of Econometrics 141: 1353-84.
Barkoulas, J.T. and C.F. Baum, 1996, Long term dependence in stock returns. Economics Letters 53, 253-259.
Barkoulas, J.T., C.F. Baum and N. Travlos, 2000, Long memory in the Greek stock market. Applied Financial Economics 10, 177-184.
- Beltratti, A., Bortolotti, B., and Caccavaio, M., 2009, Who gains from financial reforms? Evidence from the Chinese Stock Market, working paper, Bocconi University, FEEM and Torino University.
Paper not yet in RePEc: Add citation now
- Bloomfield, P., 1973, An exponential model in the spectrum of a scalar time series, Biometrika 60, 217-226.
Paper not yet in RePEc: Add citation now
- Bollerslev, T., Wright, J.H., 2000, High frecuency data, frequecy domain inference and volatility forecasting, Review of Economics and Statistics 83, 596-602.
Paper not yet in RePEc: Add citation now
Burdekin, R.C.K. and Redferin, L., 2009, Sentiment effects on Chinese share prices and savings deposits: The post-2003 experience, China Economic Review 20, 246-261.
Caner, M. and B. Hansen, 2001, Threshold autoregression with a unit root, Econometrica 69, 1555-1596.
Caporale, G.M. and L.A. Gil-Alana, 2002, Fractional integration and mean reversion in stock prices, Quarterly Review of Economics and Finance 42, 599-609.
Caporale, G.M. and L.A. Gil-Alana, 2007, Long run and cyclical dynamics in the US stock market, CESifo Working Paper no. 2046.
- Cavalcante, J., Assaf, A., 2004, Long range dependence in the returns and volatility of the Brazilian stock market, European Review of Economics and Finance 3, 5-22.
Paper not yet in RePEc: Add citation now
Charles, A. and Darne, O., 2009, The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests, Economic Systems 33, 117-126.
Cheung, Y.- W. and K.S. Lai, 1995, A search for long memory in international stock market returns. Journal of International Money and Finance 14, 597-615.
Costa, R.L. and Vasconcelos, G.L, 2003, Long-range correlations and nonstationarity in the Brazilian stock market, Physica A. 329, 231-248.
Cotter, J., 2005, Uncovering long memory in high frequency UK futures, European Journal of Finance 11, 325-337.
- Crato, N., 1994, Some international evidence regarding the stochastic behaviour of stock returns. Applied Financial Economics 4, 33-39.
Paper not yet in RePEc: Add citation now
Demetrescu, M., V. Kuzin and U. Hassler. 2008. Long memory testing in the time domain. Econometric Theory 24: 176-215.
- Dickey, D. and W.A. Fuller (1979) Distributions of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
Paper not yet in RePEc: Add citation now
- Diebold, F.X., and G.D. Rudebusch (1991). âOn the power of Dickey-Fuller test against fractional alternativesâ. Economics Letters, 35: 155-160.
Paper not yet in RePEc: Add citation now
Ding, Z., Granger, C.W.J., Engle, R.F., 1993, A long memory property of stock markets returns and a new model, Journal of Empirical Finance 1, 83-106.
Disario, R., Saraoglu, H., McCarthy, J. and Li, H., 2008, Long memory in the volatility of an emerging equity market: the case of Turkey, Journal of International Financial Markets, Institutions &. Money 18, 4, 305-312.
Dittmar, R.F., 2002, Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns, Journal of Finance, American Finance Association, vol. 57(1), 369-403.
Drew, M. E., Naughton, T. and Veeraraghavan, M., 2003. Firm size, book-to-market equity and security returns: Evidence from the Shanghai Stock Exchange, Australian Journal of Management 28, 119-139.
Eun, C.S. and Huang, W., 2007, Asset pricing in Chinaâs domestic stock markets: Is there a logic?, Pacific-Basin Finance Journal 15, 452-80.
- Fama, E.F. and K.R. French, 1988, Permanent and transitory components of stock prices, Journal of Political Economy 96, 246-273.
Paper not yet in RePEc: Add citation now
Fama, E.F., 1970, Efficient capital markets: a review of theory and empirical work, Journal of Finance 25, 383-417.
Gil-Alana, 2000, Mean reversion in real exchange rates, Economics Letters, 69,3, 285288.
- Gil-Alana, L.A, 2004, The use of the model of Bloomfield as an approximation to ARMA processes in the context of fractional integration, Mathematical and Computer Modelling 39, 429-436.
Paper not yet in RePEc: Add citation now
Gil-Alana, L.A. & Robinson, P.M. (1997). Testing of unit roots and other nonstationary hypotheses in macroeconomic time series. Journal of Econometrics, 80, 24 Golaka, C. N., 2002, Long memory and Indian stock market- an empirical evidence manuscript, WDM Department, Mumbai.
Gil-Alana, L.A. and B .Henry (2003) Fractional integration and the dynamics of UK unemployment, Oxford Bulletin of Economics and Statistics 65, 221-240.
- Gil-Alana, L.A., 2003, Fractional integration in the volatility of asset returns, European Review of Economics and Finance 2, 41-52.
Paper not yet in RePEc: Add citation now
- Gil-Alana, L.A., 2005, Long memory in daily absolute and squared returns in the Spanish stock market, Advances in Investment Analysis and Portfolio Management 1, 198-217.
Paper not yet in RePEc: Add citation now
Gil-Alana, L.A., 2006, Fractional integration in daily stock market returns. Review of Financial Economics 15, 28-48.
Granger, C.W.J., Ding, Z., 1996, Varieties of long memory models, Journal of Econometrics 73, 61-78.
Gu, G.-F. and W.-X. Zhou, 2009, Emergence of long memory in stock volatility from a modified Mike-Farmer model, EPL Europhysics Letters 86, 48002.
- Hasslers, U., and J. Wolters (1994). âOn the power of unit root tests against fractional alternativesâ. Economics Letters, 45: 1-5.
Paper not yet in RePEc: Add citation now
Henry, O.T., 2002, Long memory in stock returns. Some international evidence. Applied Financial Economics 12, 725-729.
Hiemstra, C. and J.D. Jones, 1997, Another look at long memory in common stock returns, Journal of Empirical Finance 4, 373-401.
Kang, J., Liu, M.-H. and Ni, S.X., 2002, Contrarian and momentum strategies in the China stock market: 1993-2000, Pacific Basin Finance Journal 10, 243-265.
Kew, H. and D. Harris. 2009. Heteroskedasticity robust testing for a fractional unit root.
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics 54, 159-178.
Lee, C.F., G.M. Chen and O.M. Rui, 2001, Stock returns and volatility on China stock markets, Journal of Financial Research 24, 523-543.
Lee, D., and Schmidt, P (1996). âOn the power of the KPSS test of stationarity against fractionally integrated alternativesâ. Journal of Econometrics, 73: 285-302.
Lillo, L. and J.D. Farmer, 2004, The long memory of the efficient market, Studies in Nonlinear Dynamics &. Econometrics 8(3).
Lobato, I. and C. Velasco. 2007. Efficient Wald tests for fractional unit roots. Econometrica 75: 575-89.
Lobato, I.N., Savin, N.E., 1998, Real and spurious long memory properties of stock market data, Journal of Business and Economic Statistics 16, 261-268.
- Madhusoodanan, T. P., 1998, Persistence in the Indian stock market returns: An application of variance ratio test, Vikalpa 23(4), 61-73.
Paper not yet in RePEc: Add citation now
- Matos, J.A.O., S.M.A. Gama, H.J. Rusking and J.A.M.S. Duarte, 2004, An econophysics approach to the Portuguese stock index-PSI-20, Physica A.: Statistical Mechanics and its Applications 342, 665-676.
Paper not yet in RePEc: Add citation now
- Mills, T. C., 1993, Is there long memory in UK stock returns?, Applied Financial Economics 3, 303-306.
Paper not yet in RePEc: Add citation now
Phillips, P.C.B. and K. Shimotsu. 2004. Local Whittle estimation in nonstationary and unit root cases. Annals of Statistics 32, 656-92.
- Phillips, P.C.B. and P. Perron, 1988, Testing for a unit root in time series regression, Biometrika 75, 335-346.
Paper not yet in RePEc: Add citation now
Poterba, J.M. and L.H. Summers, 1988, Mean reversion in stock prices: evidence and implications, Journal of Financial Economics 22, 27-59.
Qian, X.-Y., F.-T. Song and W.-X. Zhou, 2008, Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests, Physica A 387, 503-510.
Ren, F. and W.-X., 2008, Multiscaling behavior in the volatility return intervals of Chinese indices, EPL Europhysics Letters 84, 68001.
Ren, F., G.-F. Gu and W.-X. Zhou, 2009, Scaling and memory in the return intervals of realized volatility, Physica A 388, 22, 4787-4796.
Ren, F., L. Guo and W.-X. Zhou, 2009, Statistical properties of volatility return intervals of Chinese stocks, Physica A 388, 6, 88-890.
Robinson, P.M. and M. Henry. 1999. Long and short memory conditional heteroskedasticity in estimating the memory in levels. Econometric Theory 15: 299-336.
- Robinson, P.M., 1994, Efficient tests of nonstationary hypotheses. Journal of the American Statistical Association 89, 1420-1437.
Paper not yet in RePEc: Add citation now
- Robinson, P.M., 1995. Gaussian semiparametric estimation of long range dependence.
Paper not yet in RePEc: Add citation now
Sadique, S. and P. Silvapulle, 2001, Long-term memory in stock market returns. International evidence. International Journal of Finance and Economics 6, 59-67.
Sibbertsen, P., 2004, Long memory in volatilities of German stock returns, Empirical Economics 29, 477-488.
Summers, L.H., 1986, Does the stock market rationally reflect fundamental values?, Journal of Finance 41, 591-601.
Tolvi, J., 2003, Long memory and outliers in stock market returns. Applied Financial Economics 13, 495-502.
Velasco, C. 1999. Gaussian semiparametric estimation of nonstationary time series. Journal of Time Series Analysis 20: 87-127.