Work

The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

Year: 2008

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2008.02.007

Authors: Dariusz Grech, Grzegorz Pamuła

Institution: University of Wrocław

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2006852886

FWCI: 19.18

Cites: 22

Cited by: 130

Related to: 10