Classical and modified rescaled range analysis: Sampling properties under heavy tails

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 26/2009

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Subject: rescaled range ; modified rescaled range ; Hurst exponent ; long-range dependence ; confidence intervals ; Statistische Methode ; Zeitreihenanalyse ; Finanzmarkt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Krištoufek, Ladislav
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/83365
• Last update: 10.03.2025, 11:42 AM CET