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- W2159552000 abstract "This article presents an estimation and analysis of the Hurst exponent for Australian stocks using the wavelet technique. Consistent with Mulligan's (2004) study of US technology stocks, we find that the Hurst exponent varies over the cross-section of stocks. We also analyse Mulligan's (2004) and our data and find that beta can explain some of the cross-sectional variation in the Hurst exponents. However, we find that our results are not robust to filtering out the short range dependence in the data." @default.
- W2159552000 created "2016-06-24" @default.
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- W2159552000 date "2008-01-01" @default.
- W2159552000 modified "2023-10-18" @default.
- W2159552000 title "Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis" @default.
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- W2159552000 doi "https://doi.org/10.1080/17446540701367444" @default.
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