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2020 | 3 (27) | 25--61
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Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets

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This paper analysis Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets: (the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies (JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed.(original abstract)
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  • Warsaw School of Economics
  • Warsaw School of Economics
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