An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets
Year of publication: |
2019
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Authors: | Mensi, Walid ; Tiwari, Aviral Kumar ; Al-Yahyaee, Khamis Hamed |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 72.2019, p. 168-177
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Subject: | Efficiency | Hurst exponent | Long memory | MF-DFA | Multifractality | Stock markets | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Effizienzmarkthypothese | Efficient market hypothesis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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