| Autor: |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Typ: |
Články v impaktovaných časopisech |
| Rok: |
2010 |
| Číslo: |
4 |
| ISSN / ISBN: |
0032-3233 |
| Publikováno v: |
Politická ekonomie 58(4), pp. 471-487 PDF |
| Místo vydání: |
Prague |
| Klíčová slova: |
econophysics, long-range dependence, time series analysis, rescaled range, periodogram |
| JEL kódy: |
G1, G10, G14, G15 |
| Citace: |
|
| Granty: |
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: |
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. |
