most citedCorrelation of worldwide markets' entropies: time-scale approach

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physics.data-an2006★ 2 cited

Correlation of worldwide markets' entropies: time-scale approach

J. A. O. Matos, S. M. A. Gama, H. J. Ruskin +2

We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the S…

physics.data-an2006

Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis

Adel Sharkasi, Heather J. Ruskin, Martin Crane

Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this pape…