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Long memory in the ukrainian stock market and financial crises. (2013). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
In: MPRA Paper.
RePEc:pra:mprapa:59061.

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Cited: 9

Citations received by this document

Cites: 21

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Cocites: 50

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Coauthors: 0

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Citations received by this document

  1. Persistence in ESG and Conventional Stock Market Indices. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Makarenko, Inna ; Plastun, Alex.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9098.

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  2. Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691.

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  3. Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling. (2020). Asare-Adu, Anthony ; Atuah, Theophilus Sakyiamah ; Agyapong, Daniel.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2020:p:920-935.

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  4. Persistence in the cryptocurrency market. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:141-148.

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  5. Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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  6. On the Frequency of Price Overreactions. (2018). Plastun, Alex ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7011.

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  7. Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1647.

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  8. Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6534.

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  9. Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6396.

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References

References cited by this document

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Cocites

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  1. Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2016). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
    In: Working Papers.
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  2. Persistence in Convergence: Some further results. (2016). Yazgan, Ege ; Stengos, Thanasis ; Ozkan, Harun.
    In: Working Papers.
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  3. Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gunay, Samet ; Gnay, Samet .
    In: IJFS.
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  4. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
    In: Working Papers.
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  5. High versus Low Inflation: Implications for Price-Level Convergence. (2015). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
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  6. Forecasting long memory series subject to structural change: A two-stage approach. (2015). Papailias, Fotis ; Dias, Gustavo Fruet .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066.

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  7. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
    In: ESSEC Working Papers.
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  8. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach. (2015). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Orlando, James C.
    In: Discussion Papers of DIW Berlin.
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  9. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks. (2015). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
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  10. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre .
    In: CREATES Research Papers.
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  11. High versus Low Inflation: Implications for Price-Level Convergence. (2014). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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  12. Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. (2014). Tudor, Ciprian ; Bardet, Jean-Marc .
    In: Journal of Multivariate Analysis.
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  13. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets. (2014). YAYA, OLAOLUWA ; Gil-Alana, Luis.
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  14. Modified information criteria and selection of long memory time series models. (2014). Papailias, Fotis ; Baillie, Richard T. ; Kapetanios, George.
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  15. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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  16. Long memory in US real output per capita. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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  17. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
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  18. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
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  19. Long memory in the ukrainian stock market and financial crises. (2013). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: MPRA Paper.
    RePEc:pra:mprapa:59061.

    Full description at Econpapers || Download paper

  20. Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets. (2013). PEGUIN-FEISSOLLE, Anne ; Boubaker, Heni.
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  21. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
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  22. Testing for a break in trend when the order of integration is unknown. (2013). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; Robert Taylor, A. M., .
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  23. Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis. (2013). Gil-Alana, Luis ; Jiang, Liang.
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  24. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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  25. Long Memory in the Ukrainian Stock Market. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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  26. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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  27. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
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  28. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro. (2012). Taylor, Karl ; Gil-Alana, Luis ; Cuestas, Juan.
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  34. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
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  35. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
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  36. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun .
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  37. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
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  38. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
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  41. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
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  43. An I(d) model with trend and cycles. (2011). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
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  44. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
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  45. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
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  46. Estimators of long-memory: Fourier versus wavelets. (2009). Moulines, Eric ; Taqqu, Murad S. ; Fa, Gilles ; Roueff, Franois .
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  47. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
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  48. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
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  49. Local polynomial Whittle estimation covering non-stationary fractional processes. (2008). Nielsen, Frank.
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  50. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
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