Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its Applications, 2010 - Elsevier
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its Applications, 2010 - infona.pl
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its Applications, 2010 - eprints.ncl.ac.uk
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) Hset …
LRD is often summarized by the well-known Hurst parameter (or exponent) Hset …
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its …, 2010 - econpapers.repec.org
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A Statistical Mechanics and its …, 2010 - ui.adsabs.harvard.edu
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
F Serinaldi - Physica A: Statistical Mechanics and its Applications, 2010 - ideas.repec.org
The detection of long range dependence (LRD) is an important task in time series analysis.
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …
LRD is often summarized by the well-known Hurst parameter (or exponent) H∈[0, 1], which …