1 Yajima, Y. (1985). “On Estimation of Long-Memory Time Series Models”. Australian & New Zealand Journal of Statistics, Vol. 27, No. 3, pp. 303-320.
2 Sho-araei, S. and M. Sanaei Allam (2010). “Investigating the Existence of Long-Term Memory in the Tehran Stock Exchange and Evaluating the Models including Long-Term Memory”. Financial Accounting Research, Vol. 2, No. 4, pp. 173-186. [In Persian]
3 Abbasi, E.; Ahmadi, H.; and E. Heydari (2013). “Ranking of Pharmaceutical Companies Using an Integrative Approach of Multi-Standard Decision-Making and Genetic Algorithm”. Journal of Health Accounting, Vol. 2, No. 1, Issue. 3, pp. 57-77. [In Persian]
4 Mandelbrot, B. B. and V. Ness (1968). “Fractional Brownian Motions, Fractional Noises and Applications”. SIAM Review, Vol. 10, No. 4, pp. 422-237.
5 Granger, C. W. and R. Joyeux (1980). “An Introduction to Long-Memory Time Series and Fractional Differencing”. Journal of Time Series Analysis, Vol. 1, No.1, pp. 15-39.
6 Hosking, J. R. M. (1981). “Fractional Differencing”. Biometrika. Vol. 68, No.1, pp. 165-176.
7 Green, W. H. (2003). Econometric Analysis. 5th Edition, New Jersey: Prentice Hall.
8 Barkoulas, J. T.; Baum, C. F.; and N. Travlos (2000). “Long Memory in the Greek Stock Market”. Applied Financial Economics. Vol. 10, Issue. 2, pp. 177-184.
9 Baillie Richard, T. (1996). “Long Memory Processes and Fractional Integration in Econometrics”. Journal of Econometrics. Vol. 73, No. 5, pp. 5-59.
10 Diebolt, C. and V. Guiraud (2005). “A Note on Long Memory Time Series”. Quality and Quantity, Vol. 39, No. 6, pp. 827-836.
11 Erfani, A. (2008). “Investigating Long-Term Memory of Total Price Index of Tehran Stock Exchange”. Humanities and Social Sciences Research, Vol. 8, No. 28, pp. 77-93. [In Persian]
12 Keshavarz, H. and B. Samadi (2009). “Evaluating and Predicting the Efficiency of Volatility of the Tehran Stock Exchange and Comparing the Accuracy of Methods in Estimating Value at Risk: An Application of FIGARCH Family Models”, Tehran Journal of Economic Research, Vol. 44, No. 1, pp. 163-180. [In Persian]
13 Mahmoudi, V.; Mohammadi, S.; and H. Chitsazan (2010). “Investigating the Trend of Long-Term Memory in Global Markets of Oil”, Economic Modeling Research, Vol. 1, No. 1, pp. 29-48. [In Persian]
14 Mohamadi, S. and H. Chitsazan (2011). “Investigating the Long-Term Memory of Tehran Stock Exchange”. Economic Research, Vol. 45, pp. 207-226. [In Persian]
15 Dadashi, I.; Asghari, M.; Zarei, S.; and M. Jaffari Baei (2013). “Examining the Effect of Capital Structure and Financing on the Technical Efficiency of Pharmaceutical Companies Listed on Tehran Stock Exchange”. Journal of Health Accounting, Vol. 2, No. 1, Issue. 3, pp.1-19. [In Persian]
16 Mandelbrot, B. B. and V. Ness (1968). “Fractional Brownian Motions, Fractional Noises and Applications”. SIAM Review. Vol. 10, No. 4, pp. 422-437.
17 Greene, M. and B. Fielitz (1977). “Long Term Dependence in Common Stock Returns”. Journal of Financial Economics, Vol. 5, No. 4, pp. 339-349.
18 Lo, A. (1991). “Long Term Memory in Stock Market Prices”. Econometrica, Vol. 59, No. 5, pp. 1279-1313.
19 Crato, N. and P. J. De Lima (1994). “Long-Range Dependence in the Conditional Variance of Stock Returns”. Economics Letters, Vol. 5, No. 8, pp. 281-285.
20 Berg, L. (1998). “Short and Long-Run Dependence in Swedish Stock Returns”. Applied Financial Economics, Vol. 8, No. 4, pp. 435-443.
21 Grau-Carles, P. (2000). “Empirical Evidence of Long-Range Correlations in Stock Returns”. Statistical Mechanics and its Applications, Vol. 299, No. 3, pp. 396-404.
22 Olan, T. H. (2002). “Long Memory in Stock Returns: Some International Evidence”. Applied Financial Economics, Vol. 12, No. 10, pp. 725-729.
23 Elder, J. and A. Serletis (2008). “Long Memory in Energy Futures Prices”. Review of Financial Economics, Vol. 17, No. 2, pp. 146-155.
24 Alagide, P. (2011). “Return Behavior in Africa’s Emerging Equity Markets”. The Quarterly Review of Economics and Finance, No. 51, Issue. 2, pp. 133-140.
25 Kittiakarasakun, J. and Y. Tse (2011). “Modeling the Fat Tails in Asian Stock Markets”. International Review of Economics and Finance, Vol. 21, No. 20, pp. 430-440.