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Estimating long range dependence: finite sample properties and confidence intervals
10 references·16 citing·35 second hop
Estimating long range dependence: finite sample properties and confidence intervals (2001)Estimating long range dependence: finite …A Practical Guide to Heavy Tails (2000)A Practical Guide to Heavy Ta…Indication of a Universal Persistence Law Governing Atmospheric Variability (1998)Indication of a Universal Per…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Stochastic Networks Theory and Applications (1996)Stochastic Networks Theory an…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…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…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…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…Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models (2016)Modeling and forecasting the …Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone (2015)Has the 2008 financial crisis…Commodity futures and market efficiency (2013)Commodity futures and market …MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS (2012)MULTIFRACTAL CROSS-CORRELATIO…Measuring capital market efficiency: Global and local correlations structure (2012)Measuring capital market effi…Analysis of the time dynamics in wind records by means of multifractal detrended fluctuation analysis and the Fisher–Shannon information plane (2011)Analysis of the time dynamics…Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Use and misuse of some Hurst …On Hurst exponent estimation under heavy-tailed distributions (2010)On Hurst exponent estimation …The visibility graph: A new method for estimating the Hurst exponent of fractional Brownian motion (2009)The visibility graph: A new m…Fractal and Multifractal Time Series (2009)Fractal and Multifractal Time…Some comments on Hurst exponent and the long memory processes on capital markets (2008)Some comments on Hurst expone…Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets (2008)Hurst exponent and prediction…Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange (2008)Does financial market liberal…Comparison of detrending methods for fluctuation analysis (2008)Comparison of detrending meth…Multi-scaling in finance (2007)Multi-scaling in financeEstimation of Hurst exponent revisited (2006)Estimation of Hurst exponent …Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? 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this work references cited by second hop

References

  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 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
  • 1998Indication of a Universal Persistence Law Governing Atmospheric Variability659 cited
  • 2000A Practical Guide to Heavy Tails451 cited
  • 1996Stochastic Networks Theory and Applications343 cited

Cited by

  • 2009The visibility graph: A new method for estimating the Hurst exponent of fractional Brownian motion393 cited
  • 2007Multi-scaling in finance376 cited
  • 2008Comparison of detrending methods for fluctuation analysis315 cited
  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2008Some comments on Hurst exponent and the long memory processes on capital markets276 cited

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  • 2009Fractal and Multifractal Time Series242 cited
  • 2013Commodity futures and market efficiency194 cited
  • 2012Measuring capital market efficiency: Global and local correlations structure185 cited
  • 2008Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange169 cited
  • 2006Estimation of Hurst exponent revisited151 cited
  • 2010Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series132 cited
  • 2012MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS130 cited
  • 2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone127 cited
  • 2016Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models123 cited
  • 2011Analysis of the time dynamics in wind records by means of multifractal detrended fluctuation analysis and the Fisher–Shannon information plane120 cited
  • 2008Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets118 cited