Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012
Over the periods 1998-2002 and 2009-2011, the S&P-500 Index went from persistence to anti-persistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi self-similar segments of the Index...