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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Menezes, R., Oliveira, A. & Portela, S. (2019). Investigating detrended fluctuation analysis with structural breaks. Physica A. 518, 331-342
Exportar Referência (IEEE) 
R. M. Menezes et al.,  "Investigating detrended fluctuation analysis with structural breaks", in Physica A, vol. 518, pp. 331-342, 2019
Exportar BibTeX 
@article{menezes2019_1715212284388,
	author = "Menezes, R. and Oliveira, A. and Portela, S.",
	title = "Investigating detrended fluctuation analysis with structural breaks",
	journal = "Physica A",
	year = "2019",
	volume = "518",
	number = "",
	doi = "10.1016/j.physa.2018.12.006",
	pages = "331-342",
	url = "https://www.sciencedirect.com/science/article/pii/S0378437118315115?via%3Dihub"
}
Exportar RIS 
TY  - JOUR
TI  - Investigating detrended fluctuation analysis with structural breaks
T2  - Physica A
VL  - 518
AU  - Menezes, R.
AU  - Oliveira, A.
AU  - Portela, S.
PY  - 2019
SP  - 331-342
SN  - 0378-4371
DO  - 10.1016/j.physa.2018.12.006
UR  - https://www.sciencedirect.com/science/article/pii/S0378437118315115?via%3Dihub
AB  - Detrended Fluctuation Analysis has been used in several fields of science to study the statistical properties of trend stationary and nonstationary time-series. Its application to financial data has produced important results concerning long-range correlations and long-memory. However, these results may be contaminated if the researcher attributes to nonstationary trends the effect of stationary trends with endogenous structural breaks. Our paper proposes a modified DFA model where boxes to determine local trends are replaced by endogenous structural break windows. We also allow local trends fitted by quadratic functions and use squared residuals in place of patchy standard deviations to study the magnitude of the power-law exponent. The results show that our modified DFA model performs better than the fixed length alternatives originally proposed, and is, therefore, a suitable model to fit with financial data. Consistently with previous findings, our results show positive long-range correlation in all indices with the higher value for emerging markets.
ER  -