| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Type: |
Articles in journals with impact factor |
| Year: |
2010 |
| Number: |
4 |
| ISSN / ISBN: |
0032-3233 |
| Published in: |
Politická ekonomie 58(4), pp. 471-487 PDF |
| Publishing place: |
Prague |
| Keywords: |
econophysics, long-range dependence, time series analysis, rescaled range, periodogram |
| JEL codes: |
G1, G10, G14, G15 |
| Suggested Citation: |
|
| Grants: |
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: |
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior. |
