Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework
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Title
Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework
Authors
Keywords
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Journal
CHAOS SOLITONS & FRACTALS
Volume 166, Issue -, Pages 112884
Publisher
Elsevier BV
Online
2022-11-26
DOI
10.1016/j.chaos.2022.112884
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