Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market

Elsevier Science Bv
Publication Type:
Journal Article
Physica A: Statistical Mechanics and its Applications, 2005, 352 (2-4), pp. 558 - 572
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The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurs
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