Pages that link to "Item:Q1304363"
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The following pages link to A critical look at Lo's modified \(R/S\) statistic. (Q1304363):
Displayed 26 items.
- Bootstrapping long memory tests: some Monte Carlo results (Q961426) (← links)
- Estimation of Hurst exponent revisited (Q1020115) (← links)
- Identification and validation of stable ARFIMA processes with application to UMTS data (Q1677799) (← links)
- Note on bandwidth selection in testing for long range dependence. (Q1853704) (← links)
- Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Did long-memory of liquidity signal the European sovereign debt crisis? (Q2288945) (← links)
- Testing for long-range dependence in world stock markets (Q2425502) (← links)
- Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
- Tests of long memory: a bootstrap approach (Q2575452) (← links)
- Heterogeneous expectations and long-range correlation of the volatility of asset returns (Q2866365) (← links)
- Limit order books (Q2871425) (← links)
- Statistical tests for a single change in mean against long-range dependence (Q2930908) (← links)
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
- Multi-scaling in finance (Q3439863) (← links)
- Temporal Aggregation and Bandwidth selection in estimating long memory (Q3505325) (← links)
- Why Aggregate Long Memory Time Series? (Q3539877) (← links)
- Statistical properties of detrended fluctuation analysis (Q3589964) (← links)
- SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET (Q3606402) (← links)
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (Q4653043) (← links)
- Trading Fractional Brownian Motion (Q4971980) (← links)
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges (Q5054200) (← links)
- Long memory and data frequency in financial markets (Q5107421) (← links)
- Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
- Estimation of hurst parameter and minimum variance spectrum (Q5204427) (← links)
- The use of Hurst and effective return in investing (Q5697331) (← links)