Long-range correlations and nonstationarity in the Brazilian stock market

Physica A: Statistical Mechanics and its Applications

Volumn 329, Issue 1-2, 2003, Pages 231-248

  Costa, Rogério L ^a   Vasconcelos, G L ^a  

^a FEDERAL UNIVERSITY OF PERNAMBUCO   (Brazil)

Author keywords

Detrended fluctuation analysis; Econophysics; Hurst exponent; Long memory processes; Multifractional Brownian motion

Indexed keywords

BROWNIAN MOVEMENT; CORRELATION METHODS; INDUSTRIAL ECONOMICS; MARKETING;

STOCK MARKET;

INVENTORY CONTROL;

EID: 0141888070     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(03)00607-1     Document Type: Article

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