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Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

In: Annals of Economic and Social Measurement, Volume 1, number 3

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Cited by:

  1. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
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  6. David, S.A. & Inácio, C.M.C. & Quintino, D.D. & Machado, J.A.T., 2020. "Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension," Energy Economics, Elsevier, vol. 85(C).
  7. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
  8. Mitra, Subrata Kumar & Bawa, Jaslene & Kannadhasan, M. & Goyal, Vinay & Chattopadhyay, Manojit, 2017. "Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?," Finance Research Letters, Elsevier, vol. 20(C), pages 269-273.
  9. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
  10. Francisco Gerardo Benavides-Bravo & Dulce Martinez-Peon & Ángela Gabriela Benavides-Ríos & Otoniel Walle-García & Roberto Soto-Villalobos & Mario A. Aguirre-López, 2021. "A Climate-Mathematical Clustering of Rainfall Stations in the Río Bravo-San Juan Basin (Mexico) by Using the Higuchi Fractal Dimension and the Hurst Exponent," Mathematics, MDPI, vol. 9(21), pages 1-11, October.
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  13. Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017. "Evaluación del efecto de la psicología del inversionista en un mercado bursátil artificial mediante su grado de eficiencia," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1345-1360, Octubre-D.
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  43. Li, Wen & Yu, Cindy & Carriquiry, Alicia & Kliemann, Wolfgang, 2011. "The asymptotic behavior of the R/S statistic for fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 83-91, January.
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