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

Applied Financial Economics Letters

Volumn 4, Issue 1, 2008, Pages 41-44

  Brooks, Robert D ^a   Maharaj, Elizabeth A ^a   Pellegrini, Breanna ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38749105442     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540701367444     Document Type: Article

References (7)

1. 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.
2. Cajueiro, D. and Tabak, B. (2006) Testing for predictability in equity returns for European transition markets, Economic Systems, 30, 56-78.
3. Gencay, R., Selcuk, F. and Whitcher, B. (2005) Multiscale systematic risk, Journal of International Money and Finance, 24, 55-70.
4. Lo, A. (1991) Long term memory in stock market prices, Econometrica, 59, 1279-313.
5. McKenzie, M. (2001) Non-periodic Australian stock market cycles: evidence from rescaled range analysis, Economic Record, 77, 393-406.
6. Mulligan, R. F. (2004) Fractal analysis of highly volatile markets: an application to technology equities, The Quarterly Review of Economics and Finance, 44, 155-79.
7. Percival, D. B. and Walden, A. T. (2000) Wavelet Methods for Time Series Analysis, Cambridge University Press, Cambridge.