Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

On Hurst exponent estimation under heavy-tailed distributions

15 references·16 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
1996Statistics for Long-Memory Processes.1,480 cited
1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
1997Statistics for Long-Memory Processes606 cited
2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
2001Estimating long range dependence: finite sample properties and confidence intervals411 cited
2002Second-order moving average and scaling of stochastic time series408 cited
2004Time-dependent Hurst exponent in financial time series403 cited
2007Multi-scaling in finance376 cited
2004The Long Memory of the Efficient Market365 cited
2003Scaling behaviors in differently developed markets292 cited
2000Long memory in the Greek stock market191 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

2011Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations208 cited
2012Measuring capital market efficiency: Global and local correlations structure185 cited
2014Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series179 cited
2012Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series146 cited
2018Econophysics and sociophysics: Their milestones & challenges140 cited
2012Understanding the source of multifractality in financial markets131 cited
2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone127 cited
2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY105 cited
2010Commodity predictability analysis with a permutation information theory approach89 cited
2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy89 cited
2012A multifractal analysis of Asian foreign exchange markets86 cited
2014Leverage effect in energy futures77 cited
2019Intraday efficiency-frequency nexus in the cryptocurrency markets75 cited
2015Time-varying long term memory in the European Union stock markets70 cited
2020A NOVEL R/S FRACTAL ANALYSIS AND WAVELET ENTROPY CHARACTERIZATION APPROACH FOR ROBUST FORECASTING BASED ON SELF-SIMILAR TIME SERIES MODELING41 cited
2020Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory33 cited