Estimating the Hurst parameter in financial time series via heuristic approaches

DOI10.1080/02664760802582280OpenAlexW2057263477MaRDI QIDQ5123511

Chin Wen Cheong

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802582280

zbMATH Keywords

quantile regressionlong-range dependenceHurst parameterheuristic methodology

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Non-crossing weighted kernel quantile regression with right censored data

Uses Software

• longmemo

Cites Work

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• An Algorithm for the Machine Calculation of Complex Fourier Series
• Long memory and regime switching

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