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- Title
TIME-VARYING HURST EXPONENT FOR THE BUCHAREST EXCHANGE MARKET.
- Authors
Lungu, Eliza-Olivia
- Abstract
The article investigates the behavior of the Bucharest Exchange Market using the Hurst exponent, rescaled range analysis (R/S) and detrended fluctuation analysis (DFA) in Romania. In states that a moving windows analysis with R/S is performed to check the temporal variations of the scaling exponent for each time series. Moreover, the investigations shows that the local time-dependent Hurst exponent exhibits an erratic dynamic with alternating episodes of low and high persistent behavior.
- Subjects
BUCHAREST (Romania); ROMANIA; ECONOPHYSICS; FOREIGN exchange market; STOCK exchanges; FINANCIAL markets
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2010, Vol 44, Issue 4, p1
- ISSN
0424-267X
- Publication type
Article