In this study, we examine whether the efficient market hypothesis is valid in the Istanbul
Stock Exchange (ISE) via parametric and semi parametric long memory models. In order to …

The objective of this research is to measure and examine volatilities between important
emerging and developed stock markets and to ascertain a relationship between volatilities …

This study investigates volatility pattern of Kenyan stock market based on time series data
which consists of daily closing prices of NSE Index for the period 2ndJanuary 2001 to 31st …

Etkin piyasa hipotezi EPH, bireysel ve kurumsal yatırımcılar, port-föy yöneticileri ve politika
yapıcılar açısından büyük önem arz et-mektedir. Bu nedenle konvansiyonel finans …

We examine whether real or spurious long memory characteristics of volatility are present in
stock market data. We empirically distinguish between true and spurious long memory …

ÖZET Finansal piyasalarda Etkin Piyasalar Hipotezi'nden sapmalar olarak gözlenen ve
çeşitli ampirik çalışmalarla desteklenen anomalilerin incelendiği bu çalışmanın amacı …

Efficient market hypothesis is the well-known yet highly controversial theory of the
Neoclassical School of Finance. In an informationally efficient market, price fully and …

Öz Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası
getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin …

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of
the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of …

The purpose of this study is to examine the dual long memory properties for five stock market
returns by using joint ARFIMAFIGARCH model and structural break test in context of weak …