Improvement in Hurst exponent estimation and its application to financial markets
Year of publication: |
2022
|
---|---|
Authors: | Gómez-Águila, A. ; Trinidad Segovia, Juan Evangelista ; Sánchez-Granero, M. A. |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 8.2022, Art.-No. 86, p. 1-21
|
Subject: | FD algortihms | Financial market | GHE algorithm | Hurst exponent | Long memory | TA algorithm | Theorie | Theory | Finanzmarkt | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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