Estimating the self-similar exponent of broad-sense self-similar processes
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DOI: 10.1016/j.physa.2015.10.074
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- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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Keywords
Self-similar exponent; Broad-sense self-similar process; Lévy stable process;All these keywords.
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