most citedStatistical Properties of the Returns of Stock Prices of International Markets

11 citations · 19 across the 2 of their papers we have counts for

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physics.soc-ph2006★ 8 cited

Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes

GabJin Oh, Cheol-Jun Um, Seunghwann Kim

We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data…