R/S financial market analysis

MaRDI QIDQ2811583zbMATH OpenFDO

Authors Svetlana Danilenko

Publication date 10 June 2016

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

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)

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Cited in

(2)

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

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