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On Hurst exponent estimation under heavy-tailed distributions · Study

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ArticleOn Hurst exponent estimation under heavy-tailed distributions

Jozef Baruník2010

OA

Articlegreen2010

On Hurst exponent estimation under heavy-tailed distributions

Jozef Baruník · Ladislav Krištoufek

276 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Statistical Mechanics and Entropy

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 2002Multifractal detrended fluctuation analysis of nonstationary time series 2001Empirical properties of asset returns: stylized facts and statistical issues 1996Statistics for Long-Memory Processes.1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics 1997Statistics for Long-Memory Processes 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

Cited by

2011Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations 2012Measuring capital market efficiency: Global and local correlations structure 2014Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series 2012Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series 2018Econophysics and sociophysics: Their milestones & challenges

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2012Measuring capital market efficiency: Global and local correlations structurearticle · 8 shared references 2012Understanding the source of multifractality in financial marketsarticle · 8 shared references 2013Commodity futures and market efficiencyarticle · 7 shared references 2008Hurst exponent and prediction based on weak-form efficient market hypothesis of stock marketsarticle · 7 shared references 2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropyarticle · 7 shared references 2007Multi-scaling in financearticle · 6 shared references

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Year2010

Typearticle

Published2010-06-05

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations276

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2010.05.025

openalex_workW1967210573

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2012Understanding the source of multifractality in financial markets

2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY