Concepedia

Time-dependent Hurst exponent in financial time series

A. Carbone, G. Castelli, H. Eugene Stanley

Physica A Statistical Mechanics and its Applications · 2004 · 404 citations · 15 references

DOI

Concepts

References

15

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

Mosaic organization of DNA nucleotides

Chung‐Kang Peng, Sergey V. Buldyrev, Shlomo Havlin et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1994 · 5K citations · Full text

, , +8

<i>An Introduction to Econophysics: Correlations and Complexity in Finance</i>

Rosario N. Mantegna, H. Eugene Stanley, Neil Chriss · Physics Today · 2000 · 2.3K citations · Full text

, , +17

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 2.3K citations

, , +8