What is it about?
This paper advocates for the DFA as a method for computing the Hurst exponent, as measure of the long range dependence.
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Why is it important?
The Efficiente Market Hypothesis has been long studied, however comparative cross-market studies within the same countries are rare.
Perspectives
This is part of a set of papers, comparing the informational efficiency of different markets, using a rolling time window.
Dr Aurelio F. Bariviera
Universitat Rovira i Virgili
Read the Original
This page is a summary of: The impact of the financial crisis on the long-range memory of European corporate bond and stock markets, Empirica, May 2016, Springer Science + Business Media,
DOI: 10.1007/s10663-016-9340-8.
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