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Time and scale Hurst exponent analysis for financial markets

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References

1999Introduction to Econophysics1,831 cited
2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
2004Time-dependent Hurst exponent in financial time series403 cited
2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited

Cited by

2015Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis105 cited
2010Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals68 cited

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