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Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-Term Dependent Series

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  • Craig Ellis

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

Abstract

Hurst exponent estimates for long-term dependent series are well known to be biased with respect to their true value. Consequently, results based on the estimation of the classical rescaled adjusted range are conditional upon the choice of an appropriate benchmark, or expected value. The objective of this paper is to propose a framework for the estimation of the expected rescaled adjusted range for a general class of long-term dependent time-series.

Suggested Citation

  • Craig Ellis, 1998. "Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-Term Dependent Series," Working Paper Series 79, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:wpaper:79
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    File URL: http://www.finance.uts.edu.au/research/wpapers/wp79.pdf
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    References listed on IDEAS

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    1. Ellis, Craig, 2006. "The mis-specification of the expected rescaled adjusted range," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 469-476.
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    Cited by:

    1. Ellis, Craig, 1999. "Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 53-65.

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