| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Type: |
IES Working Papers |
| Year: |
2009 |
| Number: |
26 |
| ISSN / ISBN: |
|
| Published in: |
IES Working Papers 26/2009 PDF |
| Publishing place: |
Prague |
| Keywords: |
rescaled range, modified rescaled range, Hurst exponent, long-range dependence, confidence intervals |
| JEL codes: |
G1, G10, G14, G15 |
| Suggested Citation: |
Kristoufek, L. (2009). “ Classical and modified rescaled range analysis: Sampling properties under heavy tails ” IES Working Paper 26/2009. IES FSV. Charles University. |
| Grants: |
402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely
IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
|
| Abstract: |
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. |
| Downloadable: |
WP 2009_26_Kristoufek
|
