English, Article edition: Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis Robert Brooks; Elizabeth Maharaj; Breanna Pellegrini

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50952
Physical Description
  • article
Language
  • English

Edition details

Title
  • Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis
Author
  • Robert Brooks
  • Elizabeth Maharaj
  • Breanna Pellegrini
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:4:y:2008:i:1:p:41-44
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment