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Estimation of Hurst exponent revisited

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  • Mielniczuk, J.
  • Wojdyllo, P.
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 51 (2007)
    Issue (Month): 9 (May)
    Pages: 4510-4525

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    Handle: RePEc:eee:csdana:v:51:y:2007:i:9:p:4510-4525

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    1. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, EconWPA.
    2. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    3. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
    4. ANDREWS, DONALD W & Sun, Yixiao X, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence," University of California at San Diego, Economics Working Paper Series qt9wt048tt, Department of Economics, UC San Diego.
    5. Stoev, Stilian & Taqqu, Murad S. & Park, Cheolwoo & Michailidis, George & Marron, J.S., 2006. "LASS: a tool for the local analysis of self-similarity," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2447-2471, May.
    6. Lai, Dejian, 2004. "Estimating the Hurst effect and its application in monitoring clinical trials," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 549-562, April.
    7. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 2002-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    8. Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 445-470.
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    Cited by:
    1. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
    2. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    3. Serinaldi, Francesco, 2010. "Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2770-2781.
    4. Mulligan, Robert F., 2014. "Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 252-264.
    5. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
    6. Marinho, E.B.S. & Sousa, A.M.Y.R. & Andrade, R.F.S., 2013. "Using Detrended Cross-Correlation Analysis in geophysical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2195-2201.
    7. Pakrashi, Vikram & Kelly, Joe & Harkin, Julie & Farrell, Aidan, 2013. "Hurst exponent footprints from activities on a large structural system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1803-1817.
    8. Hedi Kortas & Zouhaier Dhifaoui & Samir Ben Ammou, 2012. "On wavelet analysis of the nth order fractional Brownian motion," Statistical Methods and Applications, Springer, vol. 21(3), pages 251-277, August.
    9. Michalski, Sebastian, 2008. "Blocks adjustment—reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 217-242.
    10. Dejian Lai, 2010. "Group sequential tests under fractional Brownian motion in monitoring clinical trials," Statistical Methods and Applications, Springer, vol. 19(2), pages 277-286, June.

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