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Keywords: Time-varying parameter
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2020) 13 (1): 24–41.
Published: 06 December 2019
... with various methods. The authors studied the evolving efficiency of the “Dow Jones” indices from 1 January 2010 to 30 December 2016 using a rolling sample of the Hurst exponent. In addition, they used a time-varying parameter method based on the Hurst of delayed returns. After that, the robust Hurst method...
