The 19 references in paper Christopher F. Baum, John Barkoulas (1996) “Long Term Dependence in Stock Returns” / RePEc:boc:bocoec:314

1
Aydogan, K. and G. G. Booth (1988), Are there long cycles in common stock returns?, Southern Economic
(check this in PDF content)
2
Cheung, Y. and K. Lai (1995), A search for long memory in international stock market returns, Journal of International Money and Finance, 14, 597-615.
(check this in PDF content)
3
Cheung, Y. W., K. S. Lai and M. Lai (1993), Are there long cycles in foreign stock returns? Journal of International Financial Markets, Institutions and Money, 3, 33-47.
(check this in PDF content)
4
Chow, K. V., K. C. Denning, S. Ferris, and G. Noronha (1995), Long-term and short-term price memory in the stock market, Economics Letters, 49, 287-295.
(check this in PDF content)
5
Geweke J. and S. Porter-Hudak (1983), The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-238.
(check this in PDF content)
6
Granger, C. W. J. and R. Joyeux (1980), An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-39.
(check this in PDF content)
7
Greene, M. T. and B. D. Fielitz (1977), Long-term dependence in common stock returns, Journal of Financial Economics, 5, 339-349.
(check this in PDF content)
8
Hassler, U. (1993a), Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369-380.
(check this in PDF content)
9
Hassler, U. (1993b), Fraktional integrierte prozesse in der okonometrie, Frankfurt am Main: Haag & Herchen.
(check this in PDF content)
10
Hosking, J. R. M. (1981), Fractional Differencing, Biometrika, 68, 165-176.
(check this in PDF content)
11
Hurst, H. E. (1951), Long-term storage capacity of reservoirs, Transactions of the American Society of Civil Engineers, 116, 770-799.
(check this in PDF content)
12
Lo, A. W. (1991), Long-term memory in stock market prices, Econometrica, 59, 1279-1313.
(check this in PDF content)
13
Mandelbrot, B. B. (1972), A statistical methodology for non-periodic cycles: From the covariance to R/S analysis, Annals of Economic and Social Measurement, 1, 259-290.
(check this in PDF content)
14
Mandelbrot, B. B. (1975), Limit theorems on the self-normalized range for weakly and strongly dependent processes, Zeitschrift fur Wahrscheinlichkeitstheorie und
(check this in PDF content)
15
Verwandte Gebiete, 271-285.
(check this in PDF content)
16
Mandelbrot, B. B. (1977), Fractals: Form, Chance, and Dimension, New York: Free Press.
(check this in PDF content)
17
Mandelbrot, B. B. and J. R. Wallis (1969), Robustness of the rescaled range R/S in the measurement of noncyclic long-run statistical dependence, Water Resources Research, 5, 967-988.
(check this in PDF content)
18
Robinson, P. (1990), Time series with strong dependence, Advances in Econometrics, 6th
(check this in PDF content)
19
World Congress, Cambridge: Cambridge University Press.
(check this in PDF content)