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Breaking bad trends
Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10014576152
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A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine; Pigato, Paolo - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
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Is there long memory in Indian stock market returns? : an empirical search
Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10011289921
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Calendar effects in Bitcoin returns and volatility
Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012485376
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Testing of consistent trends in stock performance in the Nairobi securities exchange
Ndegwa, James N.; Kiweu, Josephat Mboya - In: DBA Africa management review 5 (2015) 2, pp. 212-221
Persistent link: https://www.econbiz.de/10012250738
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018
Persistent link: https://www.econbiz.de/10011977460
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An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets
Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177
Persistent link: https://www.econbiz.de/10012176113
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72
Persistent link: https://www.econbiz.de/10013383142
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Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis
Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676
Persistent link: https://www.econbiz.de/10014333916
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642