Time-dependent Hurst exponent in financial time series
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References listed on IDEAS
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
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More about this item
KeywordsTime-series analysis; Hurst exponent; Time-varying persistence;
StatisticsAccess and download statistics
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