Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior

DOI10.1016/j.physa.2022.128285OpenAlexW4308305283MaRDI QIDQ2112212

Kuok Sin Un, Marcel Ausloos

Publication date: 9 January 2023

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2022.128285

zbMATH Keywords

Hurst exponentstock market behaviorbullish indexequity risk premium predictabilityfluctuation detrending moving average analysis

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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