The 24 references in paper John T. Barkoulas, Christopher F. Baum, Nickolaos Travlos (1996) “Long Memory in the Greek Stock Market” / RePEc:boc:bocoec:356

1
Agiakloglou, C., P. Newbold, and M. Wohar, 1993, Bias in an estimator of the fractional difference parameter, Journal of Time Series Analysis 14, 235246.
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2
Barkoulas, J. T. and N. Travlos, 1996, Chaos in an emerging capital market? The case of the Athens stock exchange, Applied Financial Economics forthcoming.
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3
Cheung, Y. W., 1993, Tests for fractional integration: A Monte Carlo investigation, Journal of Time Series Analysis 14, 331-345.
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4
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.
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5
Crato, N., 1994, Some international evidence regarding the stochastic behavior of stock returns, Applied Financial Economics 4, 33-39.
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6
Diebold, F. X. and P. Lindner, 1996, Fractional integration and interval prediction, Economics Letters 50, 305-313.
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7
Engle, R., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
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8
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.
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9
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.
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10
Greene, M. T. and B. D. Fielitz, 1977, Long-term dependence in common stock returns, Journal of Financial Economics 5, 339-349.
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11
Hassler, U., 1993, Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis 14, 369-380. 16
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12
Hosking, J. R. M., 1981, Fractional differencing, Biometrika 68, 165-176.
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13
Koutmos, G., Negakis, C. and P. Theodossiou, 1993, Stochastic behaviour of the Athens stock exchange, Applied Financial Economics 3, 119-126.
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14
Lo, A. W., 1991, Long-term memory in stock market prices, Econometrica 59, 1279-1313.
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15
Mandelbrot, B. B., 1971, When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models, Review of Economics and Statistics 53, 225-236.
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16
Panas, E., 1990, The Behavior of the Athens stock prices, Applied Economics 22, 1715-1727.
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17
Papaioannou, G. J., 1982, Thinness and short-run price dependence in the Athens stock exchange, Greek Economic Review, 315-333.
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18
Papaioannou, G. J., 1984, Informational efficiency tests in the Athens stock market, in G. A. Hawawini and P. A. Michel, eds., European Equity Markets: Risk, Return, and Efficiency (Garland Publishing, Inc., New York) 367-381.
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19
Ray, B., 1993, Long range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model, International Journal of Forecasting 9, 255-269.
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20
Robinson, P., 1990, Time series with strong dependence, Advances in Econometrics, 6th World Congress (Cambridge University Press, Cambridge).
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21
Theodossiou, P., Koutmos, G. and C. Negakis, 1993, The intertemporal relation between the U.S. and Greek stock markets: A conditional tale analysis, International Journal of Finance 6, 492-508.
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22
Travlos, N., 1992, Athens stock exchange: Creation of a stock market data bank and risk-returns characteristics for the period 1981-1990, University of 17 Piraeus, unpublished monograph.
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23
Wright, J. H., 1995, Stochastic orders of magnitude associated with two-stage estimators of fractional ARIMA systems, Journal of Time Series Analysis 16, 119-125.
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24
Yajima, Y., 1985, Estimation of long memory time series models, Australian Journal of Statistics 27, 303-320. 18
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