Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective

Table 2

Short-term and long-term Hurst exponent H (q) versus q.

q	EPU-Ret
	S = 158
	S < S	S > S
−10	0.7491	0.8863
−9	0.7415	0.8833
−8	0.7335	0.8801
−7	0.7255	0.8765
−6	0.7174	0.8725
−5	0.7097	0.8676
−4	0.7026	0.8613
−3	0.6963	0.8530
−2	0.6912	0.8420
−1	0.6874	0.8279
0	0.6848	0.8115
1	0.6833	0.7945
2	0.6822	0.7789
3	0.6809	0.7661
4	0.6787	0.7563
5	0.6749	0.7490
6	0.6697	0.7436
7	0.6633	0.7394
8	0.6562	0.7360
9	0.6490	0.7331
10	0.6419	0.7305
ΔHq	0.1071	0.1559