| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383049 | Physica A: Statistical Mechanics and its Applications | 2011 | 7 Pages |
Abstract
⺠We study the evolution of long-range dependence of stock returns. ⺠Hurst exponent is computed for a rolling sample. ⺠Liquidity affects the level of long-range dependence ⺠Foreign investors activity does not affect the level of informational efficiency
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Aurelio Fernández Bariviera,