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The Hurst exponent in energy futures prices
4 references·2 citing·24 second hop
The Hurst exponent in energy futures prices (2007)The Hurst exponent in energy futures pric…Detrending moving average algorithm: A closed-form approximation of the scaling law (2007)Detrending moving average alg…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Analysis of clusters formed by the moving average of a long-range correlated time series (2004)Analysis of clusters formed b…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Long memory and data frequency in financial markets (2019)Long memory and data frequenc…A copula–multifractal volatility hedging model for CSI 300 index futures (2011)A copula–multifractal volatil…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches (2013)Time-varying copula models in the shipping derivatives market (2016)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Multi-scaling in finance (2007)Multifractal detrending moving-average cross-correlation analysis (2011)Some long‐run properties of geophysical records (1969)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Algorithm to estimate the Hurst exponent of high-dimensional fractals (2007)Cross-correlation of long-range correlated series (2009)Multifractal detrending moving average analysis on the US Dollar exchange rates (2011)Effect of trends on detrended fluctuation analysis (2001)Effect of nonstationarities on detrended fluctuation analysis (2002)Detrending fluctuation analysis based on moving average filtering (2005)Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis (2010)Complexity testing techniques for time series data: A comprehensive literature review (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Comparison of detrending methods for fluctuation analysis (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)
this work references cited by second hop

References

  • 2002Second-order moving average and scaling of stochastic time series408 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2004Analysis of clusters formed by the moving average of a long-range correlated time series167 cited
  • 2007Detrending moving average algorithm: A closed-form approximation of the scaling law116 cited

Cited by

  • 2011A copula–multifractal volatility hedging model for CSI 300 index futures30 cited
  • 2019Long memory and data frequency in financial markets28 cited

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