Time-varying Hurst exponent for US stock markets
Year of publication: |
2008
|
---|---|
Authors: | Alvarez-Ramirez, Jose ; Alvarez, Jesus ; Rodriguez, Eduardo ; Fernandez-Anaya, Guillermo |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 24, p. 6159-6169
|
Publisher: |
Elsevier |
Subject: | Econophysics | Detrended fluctuation analysis | Stock markets | Structural changes |
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