Estimation of Hurst exponent revisited
No abstract is available for this item.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews & Yixiao Sun, 2004.
"Adaptive Local Polynomial Whittle Estimation of Long-range Dependence,"
Econometric Society, vol. 72(2), pages 569-614, 03.
- Donald W.K. Andrews & Yixiao Sun, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers 1384, Cowles Foundation for Research in Economics, Yale University.
- ANDREWS, DONALD W & Sun, Yixiao X, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence," University of California at San Diego, Economics Working Paper Series qt9wt048tt, Department of Economics, UC San Diego.
- 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.
- Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005.
"Estimating Long Memory in Volatility,"
Econometric Society, vol. 73(4), pages 1283-1328, 07.
- 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.
- 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.
- Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 2002-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- 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.
- Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 445-470.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:51:y:2007:i:9:p:4510-4525. 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: (Zhang, Lei)
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.