The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Estimating long-range dependence: finite sample properties and confidence intervals
Open accessAbstract
A major issue in financial economics is the behavior of asset returns over long horizons. Various estimators of long range dependence have been proposed. Even though some have known asymptotic properties, it is important to test their accuracy by using simulated series of different lengths. We test R/S analysis, Detrended Fluctuation Analysis and periodogram regression methods on samples drawn from Gaussian white noise. The DFA statistics turns out to be the unanimous winner. Unfortunately, no asymptotic distribution theory has been derived for this statistics so far. We were able, however, to construct empirical (i.e. approximate) confidence intervals for all three methods. The obtained values differ largely from heuristic values proposed by some authors for the R/S statistics and are very close to asymptotic values for the periodogram regression method.
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Weron, R. (2006) · doi:10.1002/9781118673362 · Cited by 708
Self-citationMultifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Fertile LAND: Pricing non-fungible tokens
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Some comments on Hurst exponent and the long memory processes on capital markets
Sánchez Granero, M. A., Trinidad Segovia, J. E., & García Pérez, J. (2008) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2008.05.053 · Cited by 276
Kelwade, J. P., & Salankar, S. S. (2016) · 2016 IEEE First International Conference on Control, Measurement and Instrumentation (CMI) · doi:10.1109/cmi.2016.7413789 · Cited by 36
Metadata
- Authors
- Weron, R.
- Venue
- Physica A: Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 2002-09
- Volume
- 312
- Issue
- 1-2
- Pages
- 285-299
- ISSN
- 2331-8422 (ISSN-L)
- 0378-4371
- OpenAlex
- W2951044827
- Cited by
- 409
- References
- 26
- Type
- posted content
- Language
- en
- Open access
- green
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