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Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets
13 references·8 citing·37 second hop
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this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 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
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2007Multi-scaling in finance376 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2000Long memory in the Greek stock market191 cited

Cited by

  • 2016Irreversibility of financial time series: A graph-theoretical approach106 cited
  • 2014The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion

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