92
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis

, &
Pages 41-44 | Published online: 25 Jan 2008

References

  • Cajueiro , D and Tabak , B . 2004 . The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient . Physica A , 336 : 521 – 37 .
  • Cajueiro , D and Tabak , B . 2006 . Testing for predictability in equity returns for European transition markets . Economic Systems , 30 : 56 – 78 .
  • Gencay , R , Selcuk , F and Whitcher , B . 2005 . Multiscale systematic risk . Journal of International Money and Finance , 24 : 55 – 70 .
  • Lo , A . 1991 . Long term memory in stock market prices . Econometrica , 59 : 1279 – 313 .
  • McKenzie , M . 2001 . Non-periodic Australian stock market cycles: evidence from rescaled range analysis . Economic Record , 77 : 393 – 406 .
  • Mulligan , RF . 2004 . Fractal analysis of highly volatile markets: an application to technology equities . The Quarterly Review of Economics and Finance , 44 : 155 – 79 .
  • Percival , DB and Walden , AT . 2000 . Wavelet Methods for Time Series Analysis , Cambridge : Cambridge University Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.