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Autoren: 
Krištoufek, Ladislav
Datum: 
2009
Reihe/Nr.: 
IES Working Paper 26/2009
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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