Detail publikace

Kristoufek, L.: Classical and modified rescaled range analysis: Sampling properties under heavy tails

Autor: doc. PhDr. Ladislav Krištoufek Ph.D.,
Typ: IES Working Papers
Rok: 2009
Číslo: 26
ISSN / ISBN:
Publikováno v: IES Working Papers 26/2009 PDF
Místo vydání: Prague
Klíčová slova: rescaled range, modified rescaled range, Hurst exponent, long-range dependence, confidence intervals
JEL kódy: G1, G10, G14, G15
Citace: Kristoufek, L. (2009). “ Classical and modified rescaled range analysis: Sampling properties under heavy tails ” IES Working Paper 26/2009. IES FSV. Charles University.
Granty: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.
Ke stažení: WP 2009_26_Kristoufek
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