R/S financial market analysis

zbMATH Open1354.91115MaRDI QIDQ2811583FDOQ2811583

Svetlana Danilenko

Publication date: 10 June 2016

Published in: Lietuvos Matematikos Rinkinys. Lietuvos Matematiku Draugijos Darbai (Search for Journal in Brave)

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zbMATH Keywords

Hurst parameterfinancial marketsR/S analysisshare index

Mathematics Subject Classification ID

Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (2)

• S/R Analysis with Computer Algebra
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient

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