Time-varying Hurst exponent for US stock markets

By J. Álvarez-Ramírez, J. Álvarez, E. Rodriguez, G. Fernández‐Anaya. 2008

211 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/ab3dd54fec355b29db9e93ffe86ccfc57bfc9722

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In Condensed Matter Physics

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Citations in the corpus

Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals (2010, methodology): “R/S is generally considered as the less efficient method and is replaced by DFA in majority of recent applied papers (Grech and Mazur 2004; Czarnecki et al. 2008; Alvarez-Ramirez et al. 2008).”
On Hurst exponent estimation under heavy-tailed distributions (2010, background): “(Alvarez-Ramirez et al., 2008; Carbone et al., 2004; Czarnecki et al., 2008; Di Matteo, 2007; Di Matteo et al., 2005; Grech and Mazur, 2004; Matos et al., 2008; Peters, 1994; Vandewalle et al., 1997).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “To incorporate the possibility of market inefficiency at shorter time scales, Alvarez-Ramirez et al. (2008) investigate the time-varying long-range dependence of the Dow Jones Industrial Average and S&P 500 Composite Index. The authors find that the US stock market approaches a random walk after the”
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (2017, methodology): “Indeed, the erratic feature of the series of estimated Hurst exponents is bypassed when analysing the results with the help of parametric techniques, such as linear regressions [1], or with non-parametric techniques, such as a moving average [23].”
Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis (2010, methodology): “Based on the work above, Alvarez-Ramirez et al. (2008a) imposed detrended fluctuation analysis on the return series of three crude oil markets.”
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2013, background): “2008 ) with nosedives systematically followed by gradual upward movements that tend to restore the previous regularity level (Bianchi 2005 ).”