The use of Hurst and effective return in investing

DOI10.1080/14697680500117427zbMATH Open1118.62362OpenAlexW2055019799MaRDI QIDQ5697331FDOQ5697331

Author name not available (Why is that?)

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500117427

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Long-Term Memory in Stock Market Prices
• Stock market prices and long-range dependence
• Effective return, risk aversion and drawdowns
• A critical look at Lo's modified \(R/S\) statistic.
• A test of fit in time series models

Cited In (2)

• Forward indifference valuation of American options
• Accounting for risk aversion in derivatives purchase timing

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