Time-dependent Hurst exponent in financial time series

[1]  C. K. Yuen,et al.  Digital Filters , 2018, IEEE Transactions on Systems, Man, and Cybernetics.

[2]  R. Gencay,et al.  An Introduc-tion to High-Frequency Finance , 2001 .

[3]  L. Amaral,et al.  Multifractality in human heartbeat dynamics , 1998, Nature.

[4]  R. Engle.  New Frontiers for Arch Models , 2002 .

[5]  R. Carlton.  Z. , 1904, Industrial and Labor Relations Terms.

[6]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[7]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[8]  C. Peng,et al.  Mosaic organization of DNA nucleotides. , 1994, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[9]  P. Lafrance,et al.  Digital filters , 1974, Proceedings of the IEEE.

[10]  R. Voss.  Random Fractal Forgeries , 1985 .

[11]  R. Baillie,et al.  Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .

[12]  V. Plerou,et al.  A theory of power-law distributions in financial market fluctuations , 2003, Nature.

[13]  James D. Hamilton.  State-space models , 1994 .

[14]  A. Carbone,et al.  Second-order moving average and scaling of stochastic time series , 2002 .

[15]  P. Cizeau,et al.  Statistical properties of the volatility of price fluctuations. , 1999, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[16]  H. Stanley,et al.  Effect of trends on detrended fluctuation analysis. , 2001, Physical review. E, Statistical, nonlinear, and soft matter physics.

[17]  R. Mantegna,et al.  Scaling behaviour in the dynamics of an economic index , 1995, Nature.

[18]  H E Stanley,et al.  Analysis of clusters formed by the moving average of a long-range correlated time series. , 2004, Physical review. E, Statistical, nonlinear, and soft matter physics.

[19]  Rosario N. Mantegna,et al.  Book Review: An Introduction to Econophysics, Correlations, and Complexity in Finance, N. Rosario, H. Mantegna, and H. E. Stanley, Cambridge University Press, Cambridge, 2000. , 2000 .

[20]  Harvard Medical School,et al.  Effect of nonstationarities on detrended fluctuation analysis. , 2001, Physical review. E, Statistical, nonlinear, and soft matter physics.