| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Type: |
Articles in refereed journals |
| Year: |
2010 |
| Number: |
0 |
| ISSN / ISBN: |
1802-4696 |
| Published in: |
AUCO Czech Economic Review 4 (3), pp. 315-329 PDF |
| Publishing place: |
Prague |
| Keywords: |
Rescaled range analysis, detrended fluctuation analysis, Hurst exponent, long-range dependence, confidence intervals |
| JEL codes: |
G1, G10, G14, G15 |
| Suggested Citation: |
|
| Grants: |
402/09/0965: New Approaches for monitoring and prediction of capital markets
402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely
GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications
IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
|
| Abstract: |
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only seve- ral papers have dealt with the finite sample properties which are crucial as the properties differ significantly from the asymptotic ones. Recently, R/S analysis has been shown to overestimate H when compared to DFA. However, we show that even though the estimates of R/S are truly significantly higher than an asymptotic limit of 0.5, for random time series with lengths from 29 to 217, they remain very close to the estimates proposed by Anis & Lloyd and the estimated standard deviations are lower than the ones of DFA. On the other hand, DFA estimates are very close to 0.5. The results propose that R/S still remains useful and robust method even when compared to newer method of DFA which is usually preferred in recent literature. |
