Work

A comment on measuring the Hurst exponent of financial time series

Year: 2004

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2004.09.035

Authors: Michel Couillard, Matt Davison

Institution: Western University

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: W2021458729

FWCI: 9.54

Cites: 39

Cited by: 172

Related to: 10