On spurious anti-persistence in the US stock indices

Author:

Kristoufek Ladislav

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference24 articles.

1. Second-order moving average and scaling of stochastic time series;Alessio;Eur Phys J B,2002

2. Detrending fluctuation analysis based on moving average filtering;Alvarez-Ramirez;Physica A,2005

3. On hurst exponent estimation under heavy-tailed distributions;Barunik;Physica A,2010

4. Statistics for long-memory processes;Beran,1994

5. Testing for long-range dependence in world stock markets;Cajueiro;Chaos, Solitons Fractals,2008

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