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Autor:innen: 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
IES Working Paper No. 26/2009
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.
Schlagwörter: 
rescaled range
modified rescaled range
Hurst exponent
long-range dependence
confidence intervals
JEL: 
G1
G10
G14
G15
Dokumentart: 
Working Paper

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