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Evidence for nonstationarity as a physical explanation of the Hurst Phenomenon
8 references·2 citing·31 second hop
Evidence for nonstationarity as a physical explanation of the Hurst Phenomenon (1976)Evidence for nonstationarity as a physica…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 3, Mathematical Appendix (1969)Computer Experiments with Fra…Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and Spectra (1969)Computer Experiments with Fra…Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Computer Experiments With Fra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …A Change in Level of a Non-Stationary Time Series (1965)A Change in Level of a Non-St…Regional Trends in Sulfate Wet Deposition (1993)Regional Trends in Sulfate We…Hurst phenomenon as a pre-asymptotic behavior (1979)Hurst phenomenon as a pre-asy…The Statistical History of the United States: From Colonial Times to the Present. (1980)Spatial Variation (1986)Space-Time Modelling with Long-Memory Dependence: Assessing Ireland's Wind Power Resource (1989)Space-time estimation of grid-cell hourly ozone levels for assessment of a deterministic model (1998)Estimation of nonstationary spatial covariance structure (2002)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)Optimal Properties of Exponentially Weighted Forecasts (1960)Smoothing, Forecasting and Prediction of Discrete Time Series. (1964)Assessing Effects of Unreplicated Perturbations: No Simple Solutions (1992)FORECASTING AND TIME SERIES ANALYSIS USING THE SCA STATISTICAL SYSTEM (1994)Assessing the Impact of Planned Social Change* (2011)Long-Term Storage: An Experimental Study. (1966)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)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Tests for Hurst Effect (1987)The variation of certain speculative prices (1997)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon (1978)The Hurst phenomenon and fractional Gaussian noise made easy (2002)Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies (2005)ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (1994)Generators of long-range dependent processes: A survey (2003)Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Power-law autocorrelated stochastic processes with long-range cross-correlations (2007)Long-term dependence in common stock returns (1977)Stock market prices and long-range dependence (1999)
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
  • 1969Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances542 cited
  • 1974The Hurst Phenomenon: A puzzle?348 cited
  • 1965A Change in Level of a Non-Stationary Time Series243 cited
  • 1969Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and Spectra167 cited
  • 1969Computer Experiments with Fractional Gaussian Noises: Part 3, Mathematical Appendix146 cited

Cited by

  • 1993Regional Trends in Sulfate Wet Deposition68 cited
  • 1979Hurst phenomenon as a pre-asymptotic behavior58 cited

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