Detail publikace

Kristoufek, L.: Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals

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.

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