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The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
Physica A Statistical Mechanics and its Applications · 2004 · Vol. 336(3-4) · pp. 521–537
Daniel O. Cajueiro✉(Universidade Católica de Brasília)Benjamin Miranda Tabak(Central Bank of Brazil)
Complex Systems and Time Series AnalysisMarket Dynamics and VolatilityFinancial Risk and Volatility ModelingAssertionHurst exponentEmerging marketsVolatility (finance)EconometricsLong memoryEconomicsComputer scienceFinancial economicsMathematics
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References
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 citations
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · 22,015 citations
Mosaic organization of DNA nucleotides
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1994 · 4,964 citations
The Pricing of Options and Corporate Liabilities
Journal of Political Economy · 1973 · 29,215 citations
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