Advanced Search
MyIDEAS: Login to save this paper or follow this series

Mis-Specification in the Estimation of the Expected Rescaled Adjusted Range Statistic: The Case Versus Peters

Contents:

Author Info

  • Craig Ellis

    (School of Economics and Finance, University of Western Sydney)

Registered author(s):

    Abstract

    Rescaled range analysis has in recent times gained in popularity as a means of identifying long memory effects in financial and economic time series data. Conclusions derived from the rescaled adjusted range statistic are conditional however upon the choice of an approptiate benchmark against which observed results can be compared. This paper provides an examination of various models of the expected value of the rescaled adjusted range statistic E(R*/sigma)_n. Two particular models will be cited, those of Anis and Lloyd (1976) and Peters (1994). As will be shown however, there exists significant inconsistencies in empirical results reported by Peters (1994), which when considered reveal Peters' specification of E(R*/sigma)_n should be rejected in favour of that derived by Anis and Lloyd.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.finance.uts.edu.au/research/wpapers/wp69.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 69.

    as in new window
    Length:
    Date of creation: 01 Oct 1996
    Date of revision:
    Publication status: Published as: Ellis, C., 2006, "The Mis-Specification of the Expected Rescaled Adjusted Range", Physica A: Statistical Mechanics and its Applications, 363(2), 469-476.
    Handle: RePEc:uts:wpaper:69

    Contact details of provider:
    Postal: PO Box 123, Broadway, NSW 2007, Australia
    Phone: +61 2 9514 7777
    Fax: +61 2 9514 7711
    Web page: http://www.uts.edu.au/about/uts-business-school/finance
    More information through EDIRC

    Related research

    Keywords:

    Other versions of this item:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:uts:wpaper:69. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.