Is violation of the random walk assumption an exception or a rule in capital markets?
Year of publication: |
2020
|
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Authors: | Dittrich, Ludwig O. ; Srbek, Pavel |
Published in: |
Atlantic economic journal : AEJ. - Richmond, Va. : Atlantic Economic Society, ISSN 1573-9678, ZDB-ID 2067826-5. - Vol. 48.2020, 4, p. 491-501
|
Subject: | Hurst exponent | Long memory | Stock markets | Random process | Rescaled range analysis | Brownian motion | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Random Walk | Random walk | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market |
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