The paper presents an empirical analysis of the Prague stock exchange as a whole approximated by the index and also selected issues traded on the Prague stock exchange. The goal of the paper is to verify the relationship between the market as a whole and the selected issues on one hand and...

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...