SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances
5 references·16 citing·32 second hop
Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Computer Experiments With Fractional Gaus…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…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Long-Term Storage: An Experimental Study. (1966)Long-Term Storage: An Experim…The League of Nations Professor Tinbergen’s Method (1939)The League of Nations Profess…A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 (2017)A Brief History of Long Memor…Detrended fluctuation analysis for fractals and multifractals in higher dimensions (2006)Detrended fluctuation analysi…A practical guide to measuring the Hurst parameter (2006)A practical guide to measurin…The Hurst phenomenon and fractional Gaussian noise made easy (2002)The Hurst phenomenon and frac…Stock market prices and long-range dependence (1999)Stock market prices and long-…Self-affine time series: measures of weak and strong persistence (1999)Self-affine time series: meas…Self-Affine Time Series: I. Generation and Analyses (1999)Self-Affine Time Series: I. G…A critical look at Lo's modified R/S statistic (1999)A critical look at Lo's modif…Testing for a change of the long-memory parameter (1996)Testing for a change of the l…Evaluating rescaled range analysis for time series (1994)Evaluating rescaled range ana…ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (1994)ESTIMATION OF THE FRACTIONAL …R/S analysis of foreign exchange rates under two international monetary regimes (1982)R/S analysis of foreign excha…Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)Preservation of the rescaled …Long-term dependence in common stock returns (1977)Long-term dependence in commo…Limit Theorem on the Self-Normalized Range for Weakly and Strongly Dependent Process (1975)Limit Theorem on the Self-Nor…The Hurst Phenomenon: A puzzle? (1974)The Hurst Phenomenon: A puzzl…The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Long Memory of the Efficient Market (2004)Some stylized facts of the Bitcoin market (2017)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Tests for Hurst Effect (1987)The variation of certain speculative prices (1997)The Pricing of Options and Corporate Liabilities (1973)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Some comments on Hurst exponent and the long memory processes on capital markets (2008)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies (2005)Time Series Analysis: Forecasting and Control. (1978)Fractional Differencing (1981)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)Climacogram versus autocovariance and power spectrum in stochastic modelling for Markovian and Hurst–Kolmogorov processes (2015)A Global-Scale Investigation of Stochastic Similarities in Marginal Distribution and Dependence Structure of Key Hydrological-Cycle Processes (2021)What is Fractional Integration? (1999)Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths (2001)Forecasting tourism demand with ARMA-based methods (2008)When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)Fractal characterization of complexity in temporal physiological signals (2002)Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and Spectra (1969)Computer Experiments with Fractional Gaussian Noises: Part 3, Mathematical Appendix (1969)As Others See Us: A Case Study in Path Analysis (1987)Detecting long-range correlations with detrended fluctuation analysis (2001)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 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
  • 1966Long-Term Storage: An Experimental Study.766 cited
  • 1939The League of Nations Professor Tinbergen’s Method266 cited

Cited by

  • 1977Long-term dependence in common stock returns478 cited
  • 1999Stock market prices and long-range dependence374 cited
  • 1974The Hurst Phenomenon: A puzzle?348 cited
  • 1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon341 cited
  • 2002The Hurst phenomenon and fractional Gaussian noise made easy270 cited
  • 2006Detrended fluctuation analysis for fractals and multifractals in higher dimensions243 cited
  • 1994Evaluating rescaled range analysis for time series197 cited
  • 1999A critical look at Lo's modified R/S statistic196 cited
  • 1999Self-affine time series: measures of weak and strong persistence192 cited
  • 1999Self-Affine Time Series: I. Generation and Analyses190 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006A practical guide to measuring the Hurst parameter151 cited
  • 2017A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980150 cited
  • 1982R/S analysis of foreign exchange rates under two international monetary regimes146 cited
  • 1994ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM141 cited
  • 1996Testing for a change of the long-memory parameter139 cited
  • 1975Limit Theorem on the Self-Normalized Range for Weakly and Strongly Dependent Process133 cited