Correlations in financial time series: established versus emerging markets

Authors
Beben, M Orlowski, A
Citation
M. Beben et A. Orlowski, Correlations in financial time series: established versus emerging markets, EUR PHY J B, 20(4), 2001, pp. 527-530
Citations number
3
Categorie Soggetti
Apllied Physucs/Condensed Matter/Materiales Science
Journal title
EUROPEAN PHYSICAL JOURNAL B
ISSN journal
14346028 → ACNP
Volume
20
Issue
4
Year of publication
2001
Pages
527 - 530
Database
ISI
SICI code
1434-6028(200104)20:4<527:CIFTSE>2.0.ZU;2-I
Abstract
Long-time correlations in both well-developed and emerging market indexes a re studied. The Hurst exponent as well as detrended fluctuations analysis ( DFA) are used as technical tools. Some features that seem to be specific fo r developing markets are discovered and briefly discussed.