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On Hurst exponent estimation under heavy-tailed distributions

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  1. Ladislav Kristoufek & Miloslav Vosvrda, 2014. "Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(7), pages 1-9, July.
  2. Buonocore, R.J. & Aste, T. & Di Matteo, T., 2016. "Measuring multiscaling in financial time-series," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 38-47.
  3. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
  4. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  5. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
  6. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
  7. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
  8. Riccardo Junior Buonocore & Tomaso Aste & Tiziana Di Matteo, 2015. "Measuring multiscaling in financial time-series," Papers 1509.05471, arXiv.org, revised Sep 2015.
  9. Kristoufek, Ladislav, 2014. "Leverage effect in energy futures," Energy Economics, Elsevier, vol. 45(C), pages 1-9.
  10. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
  11. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
  12. Morales, Raffaello & Di Matteo, T. & Gramatica, Ruggero & Aste, Tomaso, 2012. "Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3180-3189.
  13. Kristoufek, Ladislav, 2014. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 169-175.
  14. Kristoufek, Ladislav, 2010. "On spurious anti-persistence in the US stock indices," Chaos, Solitons & Fractals, Elsevier, vol. 43(1), pages 68-78.
  15. Chiarucci, Riccardo & Loffredo, Maria I. & Ruzzenenti, Franco, 2017. "Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect," Research in International Business and Finance, Elsevier, vol. 42(C), pages 912-921.
  16. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  17. Ladislav Kristoufek & Paulo Ferreira, 2018. "Capital asset pricing model in Portugal: Evidence from fractal regressions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(3), pages 173-183, November.
  18. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  19. Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
  20. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
  21. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
  22. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
  23. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  24. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
  25. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
  26. Emilian DOBRESCU, 2016. "Controversies over the Size of the Public Budget," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-34, December.
  27. Kristoufek, Ladislav, 2018. "Fractality in market risk structure: Dow Jones Industrial components case," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 69-75.
  28. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6470-6483.
  29. Kristoufek, Ladislav & Vosvrda, Miloslav, 2013. "Measuring capital market efficiency: Global and local correlations structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 184-193.
  30. Rypdal, Martin & Sirnes, Espen & Løvsletten, Ola & Rypdal, Kristoffer, 2013. "Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3335-3343.
  31. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
  32. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  33. Lotfalinezhad, Hamze & Maleki, Ali, 2020. "TTA, a new approach to estimate Hurst exponent with less estimation error and computational time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  34. Ju Zhang & Qingwu Hu & Shaohua Wang & Mingyao Ai, 2017. "Variation Trend Analysis of Runoff and Sediment Time Series Based on the R / S Analysis of Simulated Loess Tilled Slopes in the Loess Plateau, China," Sustainability, MDPI, vol. 10(1), pages 1-17, December.
  35. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
  36. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
  37. Silvio M. Duarte Queiros & Evaldo M. F. Curado & Fernando D. Nobre, 2011. "Minding impacting events in a model of stochastic variance," Papers 1102.4819, arXiv.org, revised Feb 2011.
  38. Mulligan, Robert F., 2017. "The multifractal character of capacity utilization over the business cycle: An application of Hurst signature analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 147-152.
  39. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  40. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  41. Li, Daye & Kou, Zhun & Sun, Qiankun, 2015. "The scale-dependent market trend: Empirical evidences using the lagged DFA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 26-35.
  42. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  43. Wang, Jian & Yan, Yan & Chen, Wenbing & Shao, Wei & Wang, Jian & Tang, Weiwei, 2021. "Equity-linked securities option pricing by fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  44. Tsionas, Mike G., 2021. "Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
  45. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
  46. Pavel Srbek, 2018. "Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů [Estimation of the Hurst Exponent in Time Series of Daily Returns of Stock Indices]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(4), pages 508-524.
  47. Kristoufek, Ladislav, 2018. "On Bitcoin markets (in)efficiency and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 257-262.
  48. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis And The Global Financial Crisis: Scaling, Investment Horizons And Liquidity," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-13.
  49. Mukli, Peter & Nagy, Zoltan & Eke, Andras, 2015. "Multifractal formalism by enforcing the universal behavior of scaling functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 150-167.
  50. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
  51. Kristoufek, Ladislav, 2015. "Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 194-205.
  52. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
  53. Ferreira, Paulo & Kristoufek, Ladislav, 2017. "What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 554-566.
  54. Hiremath, Gourishankar S. & Kattuman, Paul, 2017. "Foreign portfolio flows and emerging stock market: Is the midnight bell ringing in India?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 544-558.
  55. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  56. Raffaello Morales & T. Di Matteo & Ruggero Gramatica & Tomaso Aste, 2011. "Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series," Papers 1109.0465, arXiv.org.
  57. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
  58. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
  59. Song, Wanqing & Li, Ming & Li, Yuanyuan & Cattani, Carlo & Chi, Chi-Hung, 2019. "Fractional Brownian motion: Difference iterative forecasting models," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 347-355.
  60. Corzo Santamaría, Teresa & Martin-Bujack, Karin & Portela, Jose & Sáenz-Diez, Rocio, 2022. "Early market efficiency testing among hydrogen players," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 723-742.
  61. Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020. "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers 2010.08890, arXiv.org, revised Dec 2020.
  62. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  63. Ludwig O. Dittrich & Pavel Srbek, 2020. "Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(4), pages 491-501, December.
  64. Pakrashi, Vikram & Kelly, Joe & Harkin, Julie & Farrell, Aidan, 2013. "Hurst exponent footprints from activities on a large structural system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1803-1817.
  65. Estefanía Montoya-Cruz & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Exploring Arbitrage Strategies in Corporate Social Responsibility Companies," Sustainability, MDPI, vol. 12(16), pages 1-17, August.
  66. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  67. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
  68. Gómez-Águila, A. & Sánchez-Granero, M.A., 2021. "A theoretical framework for the TTA algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  69. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
  70. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
  71. Lahmiri, Salim, 2018. "Generalized Hurst exponent estimates differentiate EEG signals of healthy and epileptic patients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 378-385.
  72. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
  73. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  74. Ailie Charteris & Conrad Alexander Steyn, 2023. "The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 225-240, May.
  75. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  76. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  77. Kristoufek, Ladislav, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4252-4260.
  78. Kristoufek, Ladislav, 2015. "Finite sample properties of power-law cross-correlations estimators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 513-525.
  79. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
  80. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
  81. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  82. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  83. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
  84. Lee, Hojin & Chang, Woojin, 2015. "Multifractal regime detecting method for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 70(C), pages 117-129.
  85. Maiorino, Enrico & Livi, Lorenzo & Giuliani, Alessandro & Sadeghian, Alireza & Rizzi, Antonello, 2015. "Multifractal characterization of protein contact networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 302-313.
  86. Song, Wanqing & Duan, Shouwu & Zio, Enrico & Kudreyko, Aleksey, 2022. "Multifractional and long-range dependent characteristics for remaining useful life prediction of cracking gas compressor," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
  87. Antoniades, I.P. & Brandi, Giuseppe & Magafas, L. & Di Matteo, T., 2021. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  88. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.
  89. Kristoufek, Ladislav, 2019. "Are the crude oil markets really becoming more efficient over time? Some new evidence," Energy Economics, Elsevier, vol. 82(C), pages 253-263.
  90. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
  91. Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav, 2012. "How do skilled traders change the structure of the market," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 66-71.
  92. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
  93. Song, Wanqing & Cattani, Carlo & Chi, Chi-Hung, 2020. "Multifractional Brownian motion and quantum-behaved particle swarm optimization for short term power load forecasting: An integrated approach," Energy, Elsevier, vol. 194(C).
  94. Gu, Gao-Feng & Xiong, Xiong & Zhang, Yong-Jie & Chen, Wei & Zhang, Wei & Zhou, Wei-Xing, 2016. "Stylized facts of price gaps in limit order books," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 48-58.
  95. Stan, Cristina & Marmureanu, Luminita & Marin, Cristina & Cristescu, Constantin P., 2020. "Investigation of multifractal cross-correlation surfaces of Hurst exponents for some atmospheric pollutants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  96. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
  97. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
  98. Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
  99. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
  100. Ding, Liang & Luo, Yi & Lin, Yan & Huang, Yirong, 2021. "Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  101. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
  102. Auer, Benjamin R. & Hoffmann, Andreas, 2016. "Do carry trade returns show signs of long memory?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 201-208.
  103. Mulligan, Robert F., 2014. "Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 252-264.
  104. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
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