Journal on Policy and Complex Systems
Diebold , F . X ., & Inoue , A . ( 2001 ). Long memory and regime switching . Journal of Econometrics , 105 , 131 – 159 .
Epstein , J . M ., & Axtell , R . ( 1996 ). Growing artificial societies : Social science from the bottom up . Wa s h i n g t o n , DC : Brookings Institution Press .
Farmer , J . D ., Patelli , P ., & Zovko , I . I . ( 2005 ). The predictive power of zero intelligence in financial markets . Proceedings of the National Academy of Sciences of the United States of America , 102 ( 6 ), 2254 – 2259 .
Geweke , J ., & Porter-Hudak , S . ( 1983 ). The estimation and application of long memory time series models . Journal of Time Series Analysis , 4 , 221 – 238 .
Giraitis , L ., Kokoszka , P ., Leipus , R ., & Teyssière , G . ( 2003 ). Rescaled variance and related tests for long memory in volatility and levels . Journal of Econometrics , 112 , 265 – 294 .
Granger , C . W . J . ( 1980 ). Long-memory relationships and the aggregation of dynamic models . Journal of Econometrics , 14 , 227 – 238 .
Hosking , J . R . M . ( 1981 ). Fractional differencing . Biometrika , 68 , 165 – 176 .
Hurst , H . ( 1951 ). Long term storage capacity of reservoirs . Transactions of the American Society of Civil Engineers , 116 , 770 – 799 .
Jumadinova , J ., Matache , M . T ., & Dasgupta , P . A . ( 2011 ). Multi-agent prediction market based on Boolean network evolution . Conference on Web Intelligence and Intelligent Agent Technology ( WI-IAT ).
Kumar , D . ( 2014 ). Long memory in the volatility of Indian financial market : An empirical analysis based on Indian data . Hamburg : Anchor Academic Publishing .
Künsch , H . R . ( 1987 ). Statistical aspects of self-similar processes . In P . Yu & V . V . Sazanov ( Eds .), Proceedings of the First World Congress of the Bernoulli Society ( pp . 67 – 74 ). Utrecht : VNU Science Press .
Lima , L . R ., & Xiao , Z . ( 2004 ). Robustness of stationarity tests under long-memory alternatives . Ensaios Econômicos — Fundação Getúlio Vargas . Retrieved from https :// core . ac . uk / download / pdf / 6776898 . pdf
Lippi , M ., & Zaffaroni , P . ( 1999 ). Contemporaneous aggregation of linear dynamic models in large economies . Mimeo , Universita La Sapienza and Banca d ’ Italia .
Liu , X ., Gregor , S ., & Yang , J . ( 2008 ). The effects of behavioral and structural assumptions in artificial stock market . Physica A : Statistical Mechanics and its Applications , 387 ( 11 ), 2535 – 2546 .
Lo , A . W . ( 1991 ). Long-term memory in stock market prices . Econometrica , 59 , 1279 – 1313 .
Mandelbrot , B . B ., & Wallis , J . R . ( 1969 ). 48