Čurpek, Juraj - In: European Financial and Accounting Journal 14 (2019) 3, pp. 25-44
In this paper we analyse a temporal evolution of the Hurst exponent estimated on hourly returns of intraday electricity prices in the Czech Republic in 2017 and 2018. Firstly we used the log-returns with adjustments due to negative values, and secondly we employed the returns based on the area...