Patterns in the Chaos: The Moving Hurst Indicator and Its Role in Indian Market Volatility
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- Qadan, Mahmoud & Shuval, Kerem, 2022. "Variance risk and the idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 45(C).
- Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
- Sensoy, A., 2013. "Generalized Hurst exponent approach to efficiency in MENA markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5019-5026.
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Keywords
hurst exponent; fractal analysis; volatility; Indian equity markets; chaos theory;All these keywords.
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