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An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets

  • Zlotnik, Andrey

    ()

    (CEMI RAS, Moscow, Russia)

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    In 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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    File URL: http://pe.cemi.rssi.ru/pe_2007_1_20-29.pdf
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    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 5 (2007)
    Issue (Month): 1 ()
    Pages: 20-29

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    Handle: RePEc:ris:apltrx:0150
    Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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    1. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
    2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    3. 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.
    4. 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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