The use of Hurst and effective return in investing

DOI10.1080/14697680500117427zbMath1118.62362OpenAlexW2055019799MaRDI QIDQ5697331

No author found.

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

Related Items (2)

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

Cites Work

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

This page was built for publication: The use of Hurst and effective return in investing