作者
Daniel O Cajueiro, Benjamin M Tabak
发表日期
2005/1/1
期刊
Chaos, Solitons & Fractals
卷号
23
期号
2
页码范围
671-675
出版商
Pergamon
简介
This paper employs a “rolling sample” approach to estimate Hurst exponents for emerging markets squared and absolute returns. The findings suggests that these markets possess strong long-range dependence in volatility. Empirical results suggest that Asian equity markets are more efficient than those of Latin America and that the US is the most efficient country.
引用总数
学术搜索中的文章
DO Cajueiro, BM Tabak - Chaos, Solitons & Fractals, 2005