Estimating long-range dependence: Finite sample properties and confidence intervals

DOI10.1016/S0378-4371(02)00961-5zbMath0997.91030arXivcond-mat/0103510OpenAlexW2951044827WikidataQ29542076 ScholiaQ29542076MaRDI QIDQ1611161

Rafał Weron

Publication date: 21 August 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0103510

zbMATH Keywords

asymptotic distributionGaussian white noisefinancial economics

Mathematics Subject Classification ID

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Cites Work

• Stock market prices and long-range dependence
• Self-affine time series: Measures of weak and strong persistence.
• Fractional differencing and long memory processes
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractal geometry: what is it, and what does it do?
• Long-Term Memory in Stock Market Prices
• Scaling in financial prices: I. Tails and dependence
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