JAGRIC, TIMOTEJ; PODOBNIK, BORIS; KOLANOVIC, MARKO - In: Eastern European Economics 43 (2005) 4, pp. 79-103
In this paper, a wavelet analysis of long-range dependence (LRD) based on the Hurst exponent is presented. An estimator is used to perform an analysis of LRD in the capital markets of six transition economies. The results suggest that we can divide the stock markets into two groups: markets with...