| Autor: |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Typ: |
Články v recenzovaných časopisech |
| Rok: |
2010 |
| Číslo: |
0 |
| ISSN / ISBN: |
1802-4696 |
| Publikováno v: |
AUCO Czech Economic Review 4 (3), pp. 315-329 PDF |
| Místo vydání: |
Prague |
| Klíčová slova: |
Rescaled range analysis, detrended fluctuation analysis, Hurst exponent, long-range dependence, confidence intervals |
| JEL kódy: |
G1, G10, G14, G15 |
| Citace: |
|
| Granty: |
402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích
402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely
GAUK 5183/2010 (118310) Fraktalita a multifraktalita finančních trhů: metody a aplikace
Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
|
| Abstrakt: |
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. |
