Gursakal, Necmi; Aydin, Zehra Berna; Gursakal, Sevda; … - In: International Journal of Sustainable Economy 1 (2009) 3, pp. 255-269
This study is about the application of Hurst exponent in an emerging financial market, the Istanbul stock exchange (ISE). The aim of this study was to find out whether ISE daily return series has long-term dependency and multifractality by using Hurst exponent analysis. Hurst values of daily...