Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets

• Autorzy: Krzysztof Borkowski , Michał Matusewicz
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Finance; Emerging markets; Developing countries

PL

Finanse; Rynki wschodzące; Kraje rozwijające się

• Czasopismo: Finanse i Prawo Finansowe
• Rocznik: 2020
• Tom: 3 (27)
• Strony: 25--61

Twórcy

autor

Krzysztof Borkowski

• Warsaw School of Economics

autor

Michał Matusewicz

• Warsaw School of Economics

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