Classical and modified rescaled range analysis: Sampling properties under heavy tails
AbstractMostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.
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Bibliographic InfoPaper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2009/26.
Length: 12 pages
Date of creation: Nov 2009
Date of revision: Nov 2009
rescaled range; modified rescaled range; Hurst exponent; long-range dependence; confidence intervals;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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