Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range
DOI:
关键词:
摘要: Mostly used estimators of Hurst exponent for detection long-range dependence are biased by presence short-range in the underlying time series. We present confidence intervals estimates rescaled range and modified range. show that difference expected values enables us to use both methods together clearly distinguish between two types processes. The further applied on Dow Jones Industrial Average 1944 2009 returns do not any whereas volatility shows process.
参考文章(23)
George A. Zombanakis, Andreas S. Andreou, Computational Intelligence in Exchange-Rate Forecasting Research Papers in Economics. ,(2006)
Fabrizio Lillo, J. Doyne Farmer, The Long Memory of the Efficient Market Studies in Nonlinear Dynamics and Econometrics. ,vol. 8, pp. 1- 35 ,(2004) , 10.2202/1558-3708.1226
Łukasz Czarnecki, Dariusz Grech, Grzegorz Pamuła, Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market Physica A-statistical Mechanics and Its Applications. ,vol. 387, pp. 6801- 6811 ,(2008) , 10.1016/J.PHYSA.2008.08.019
José A.O. Matos, Sílvio M.A. Gama, Heather J. Ruskin, Adel Al Sharkasi, Martin Crane, Time and scale Hurst exponent analysis for financial markets Physica A-statistical Mechanics and Its Applications. ,vol. 387, pp. 3910- 3915 ,(2008) , 10.1016/J.PHYSA.2008.01.060
A. Craig MacKinlay, Andrew W. Lo, A Non-Random Walk Down Wall Street ,(1999)
Michel Couillard, Matt Davison, A comment on measuring the Hurst exponent of financial time series Physica A-statistical Mechanics and Its Applications. ,vol. 348, pp. 404- 418 ,(2005) , 10.1016/J.PHYSA.2004.09.035
Benoit B. Mandelbrot, John W. Van Ness, Fractional Brownian Motions, Fractional Noises and Applications Siam Review. ,vol. 10, pp. 422- 437 ,(1968) , 10.1137/1010093
Edgar E. Peters, Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility ,(1996)
Valentina Alfi, F Coccetti, M Marotta, A Petri, Luciano Pietronero, None, Exact Results for the Roughness of a Finite Size Random Walk Physica A-statistical Mechanics and Its Applications. ,vol. 370, pp. 127- 131 ,(2006) , 10.1016/J.PHYSA.2006.04.020
D Grech, Z Mazur, Can one make any crash prediction in finance using the local Hurst exponent idea Physica A-statistical Mechanics and Its Applications. ,vol. 336, pp. 133- 145 ,(2004) , 10.1016/J.PHYSA.2004.01.018