Article citationsMore>>

Barunik, J., & Kristoufek, L. (2010). On Hurst Exponent Estimation under Heavy-Tailed Distributions. Physica A: Statistical Mechanics and Its Applications, 389, 3844-3855.
https://doi.org/10.1016/j.physa.2010.05.025

has been cited by the following article:

• TITLE: Exploiting the European Volatility Index Features: Anti-Persistence, Skewness, Kurtosis, and the Role of the Hurst Exponent

  AUTHORS: Michele Anelli, Michele Patanè, Stefano Zedda

  KEYWORDS: VStoxx, Hurst Exponent, Kurtosis, Skewness, Cointegration, Vector Error Correction Model, Granger-Causality

  JOURNAL NAME: Modern Economy, Vol.14 No.5, May 31, 2023

  ABSTRACT: Volatility indices are fundamental in the study of stock markets. In this paper, we analyzed the classical statistical characteristics of the main volatility index of the European stock markets (VStoxx) and evidenced some interesting connections and cause-effect relationships between the Hurst exponent and the moments of the distribution. Our results suggest that the market volatility is characterized by anti-persistence and mean reversion and that the Hurst exponent variations seem to anticipate the variations of the other moments of the distribution such as skewness and kurtosis, so that the Hurst exponent variations can possibly signal near-term market reversals.