An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets
AbstractIn the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance. A grouping method is suggested built on financial time series fractal properties.
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 5 (2007)
Issue (Month): 1 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
financial time series; fractal processes; persistent processes; antipersistent processes; stochastic processes; R/S-analysis; Hurst exponent;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
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"Long-term Memory in Stock Market Prices,"
NBER Working Papers
2984, National Bureau of Economic Research, Inc.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1999. "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, vol. 92(1), pages 75-99, September.
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