Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Year of publication: |
[2021]
|
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Authors: | Vogl, Markus ; Roetzel, Peter Gordon |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Effizienzmarkthypothese | Efficient market hypothesis | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätzung | Estimation | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (87 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 3, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3838850 [DOI] |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting ; G01 - Financial Crises ; C01 - Econometrics |
Source: | ECONIS - Online Catalogue of the ZBW |
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