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Improved finite‐sample Hurst exponent estimates using rescaled range analysis
16 references·0 citing·30 second hop
Improved finite‐sample Hurst exponent estimates using rescaled range analysis (2007)Improved finite‐sample Hurst exponent est…A comment on measuring the Hurst exponent of financial time series (2004)A comment on measuring the Hu…Rescaled variance and related tests for long memory in volatility and levels (2002)Rescaled variance and related…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …Analyzing exact fractal time series: evaluating dispersional analysis and rescaled range methods (1997)Analyzing exact fractal time …ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…The Hurst Effect: The scale of fluctuation approach (1993)The Hurst Effect: The scale o…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Tests for Hurst Effect (1987)Tests for Hurst EffectPreservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)Preservation of the rescaled …The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands (1976)The Expected Value of the Adj…The expected value of the adjusted rescaled Hurst range of independent normal summands (1976)The expected value of the adj…The Hurst Phenomenon: A puzzle? (1974)The Hurst Phenomenon: A puzzl…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Computer Experiments With Fra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Efficient Tests of Nonstationary Hypotheses (1994)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Long-Term Storage: An Experimental Study. (1966)Approach to an irregular time series on the basis of the fractal theory (1988)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (1997)Effect of trends on detrended fluctuation analysis (2001)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)The variation of certain speculative prices (1997)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Long memory and regime switching (2001)Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)A model of investor sentiment / (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long-term dependence in common stock returns (1977)Stock market prices and long-range dependence (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Empirical properties of asset returns: stylized facts and statistical issues (2001)
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References

  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,780 cited
  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1989Long-term Memory in Stock Market Prices1,448 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,195 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1987Tests for Hurst Effect544 cited
  • 1969Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances542 cited
  • 1974The Hurst Phenomenon: A puzzle?348 cited
  • 1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon341 cited
  • 2002Rescaled variance and related tests for long memory in volatility and levels302 cited
  • 1976The expected value of the adjusted rescaled Hurst range of independent normal summands194 cited
  • 2004A comment on measuring the Hurst exponent of financial time series172 cited
  • 1997Analyzing exact fractal time series: evaluating dispersional analysis and rescaled range methods

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143 cited
  • 1976The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands138 cited
  • 1993The Hurst Effect: The scale of fluctuation approach91 cited
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