scientific article; zbMATH DE number 1304930
From MaRDI portal
Publication:4251827
Recommendations
- Estimation of Hurst exponent revisited
- The rescaled variance statistic and the determination of the Hurst exponent
- Hurst exponent analysis of financial time series
- Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
- HURST EXPONENTS IN FUTURES EXCHANGE MARKETS
Cited in
(16)- Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes
- Estimation of Hurst exponent revisited
- The discrete Hurst range for skew independent two-valued inflows
- Long-range correlations and nonstationarity in the Brazilian stock market
- The rescaled variance statistic and the determination of the Hurst exponent
- Rescaled range analysis in the presence of stochastic trend
- Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
- The Hurst phenomenon and the rescaled range statistic
- Hurst exponent analysis of financial time series
- Hurst exponents and delampertized fractional Brownian motions
- S/R Analysis with Computer Algebra
- Long-range memory test by the burst and inter-burst duration distribution
- Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
- Asymptotic distribution of time-series intermittency estimates: applications to economic and clinical data.
- The effect of round-off error on long memory processes
- Roughness and finite size effect in the NYSE stock-price fluctuations
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4251827)