Could Investors’ Expectations Explain Temporal Variations in Hurst’s Exponent, Loci of Multifractal Spectra, and Statistical Prediction Errors? The Case of the S&P 500 Index
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References listed on IDEAS
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo & Fernandez-Anaya, Guillermo, 2008. "Time-varying Hurst exponent for US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(24), pages 6159-6169.
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More about this item
KeywordsPersistence; Strange Equilibrium sets; Scaling Exponents; Multifractal Spectra; Generalized Dimensions of order q; Statistical-prediction-error;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C0 - Mathematical and Quantitative Methods - - General
- G00 - Financial Economics - - General - - - General
- A10 - General Economics and Teaching - - General Economics - - - General
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
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