Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů
Alternative title: | Estimation of the hurst exponent in time series of daily returns of stock indices |
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Year of publication: |
2018
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Authors: | Srbek, Pavel |
Published in: |
Politická ekonomie : teorie, modelování, aplikace. - Praha : Vysoká škola ekonomická v Praze, ISSN 2336-8225, ZDB-ID 2815470-8. - Vol. 66.2018, 4, p. 508-524
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Subject: | Hurst exponent | rescaled range analysis | stock indices | long-range dependence | random walk | randomness |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | Czech |
Notes: | Zusammenfassung in englischer Sprache |
Other identifiers: | 10.18267/j.polek.1207 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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