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Estimation of Hurst exponent revisited

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  • Mielniczuk, J.
  • Wojdyllo, P.

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  • Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:9:p:4510-4525
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    References listed on IDEAS

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    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, September.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2005. "Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]," Journal of Econometrics, Elsevier, vol. 126(2), pages 571-572, June.
    4. 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.
    5. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
    6. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
    7. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, September.
    8. GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," LIDAM Reprints CORE 1594, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
    10. Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, March.
    11. 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.
    12. 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.
    13. Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 445-470.
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