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On the Long-Term or Short-Term Dependence in Stock Prices: Evidence from International Stock Markets.. (1996). Sakano, Ryoichi ; Chow, Victor K ; Pan, Ming-Shium.
In: Review of Quantitative Finance and Accounting.
RePEc:kap:rqfnac:v:6:y:1996:i:2:p:181-94.

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  1. An idea of risk-neutral momentum and market fear. (2020). Schadner, Wolfgang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319302399.

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  2. Risk-Neutral Momentum and Market Fear. (2019). Schadner, Wolfgang.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2019:15.

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  3. Long-term memory in Euronext stock indexes returns: an econophysics approach. (2018). Luis , ; Jose , .
    In: Business and Economic Horizons (BEH).
    RePEc:pdc:jrnbeh:v:14:y:2018:i:4:p:862-881.

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  4. 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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  5. Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH. (2017). el Jebari, Ouael ; Hakmaoui, Abdelati.
    In: Turkish Economic Review.
    RePEc:ksp:journ2:v:4:y:2017:i:4:p:388-399.

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  6. Long memory in the Croatian and Hungarian stock market returns. (2012). Dajcman, Silvo ; Kavkler, Alenka ; Festic, Mejra .
    In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
    RePEc:rfe:zbefri:v:30:y:2012:i:1:p:115-139.

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  7. A wavelet based investigation of long memory in stock returns. (2012). Tan, Pei Pei ; Maharaj, Elizabeth ; Galagedera, Don ; Galagedera, Don U. A., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:7:p:2330-2341.

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  8. A non-random walk revisited: short- and long-term memory in asset prices. (2008). Vitanza, Justin ; Eitelman, Paul.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:956.

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  9. Systematic Mispricing in European Equity Prices?. (2007). Berneburg, Marian .
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-6-07.

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  10. A search for long memory in international stock market returns. (1995). Cheung, Yin-Wong ; Lai, Kon S..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:14:y:1995:i:4:p:597-615.

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