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Cajueiro, D.O. and Tabak, B.M. (2004) Evidence of Long Range Dependence in Asian Equity Markets: The Role of Liquidity and Market. Physica A: Statistical Mechanics and its Applications, 342, 656-664.
https://doi.org/10.1016/j.physa.2004.05.034

has been cited by the following article:

• TITLE: Measuring the Market Efficiency of Energy Exchange-Traded Funds (ETFS)

  AUTHORS: Kashif Saleem, Osama Al-Hares

  KEYWORDS: Energy Exchange-Traded Funds, Market Efficiency, FIGARCH, Temporal Dependencies, Long Memory

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.6, April 24, 2018

  ABSTRACT: This paper examines the market efficiency of Energy Exchange-Traded Funds (ETFs) of both renewable and unrenewable energy ETFs. We adopt GARCH modelling approach to investigate the long-range dependence in ETFs volatility. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory dependence in all ETFs, implying that, all the indexes under investigation are weak-form inefficient. The results also indicate that the volatility has a predictable structure in all the ETFs of both renewable and unrenewable energy ETFs, indicating the potential of diversification for the international investors.