Arbeitspapier
Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to comparative quantitative Analysis. In this paper we propose a new bootstrap, or Monte Carlo, approach to such problems. Traditional bootstrap methods in this context file based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages, autoregressive moving averages and many more. By way of contrast we suggest simulation using a single type of continuous-time process, with its fractal dimension. We provide theoretical justification for this method, and explore its numerical properties and statistical performance by application 1,0 real data on commodity prices and exchange rates.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 1999,62
- Classification
-
Wirtschaft
- Subject
-
Monte Carlo
box-counting method
commodity price
financial market
fractal dimension
fractional Brownian motion
Gaussian process
longrange dependence
R-S analysis
self affineness
self similarity
- Event
-
Geistige Schöpfung
- (who)
-
Hall, Peter
Härdle, Wolfgang
Kleinow, Torsten
Schmidt, Peter
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
-
1999
- Handle
- URN
-
urn:nbn:de:kobv:11-10046527
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hall, Peter
- Härdle, Wolfgang
- Kleinow, Torsten
- Schmidt, Peter
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1999
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Multivariate and semiparametric kernel regression
Semi-parametric estimation of generalized partially linear single-index models
Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
Bootstrap methods for time series
Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap
Large sample theory of the estimation of the error distribution for a semiparametric model
A bootstrap test for single index models
Bootstrap approximations in a partially linear regression model
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Implementation of DynamicSemiparametric Factor Model forImplied Volatilities
Semiparametric regression analysis under imputation for missing response data