The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion
Year of publication: |
2014
|
---|---|
Authors: | Horta, Paulo ; Lagoa, Sérgio ; Martins, Luís |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 35.2014, C, p. 140-153
|
Publisher: |
Elsevier |
Subject: | Hurst exponent | Financial crisis | Financial contagion | Efficiency | Stock markets | MFDMA algorithm | Copula models |
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