Testing for time-varying long-range dependence in volatility for emerging markets
Year of publication: |
2005
|
---|---|
Authors: | Cajueiro, Daniel O. ; Tabak, Benjamin M. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 346.2005, 3, p. 577-588
|
Publisher: |
Elsevier |
Subject: | Emerging markets | Hurst exponent | Long-range dependence | Volatility |
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