Turvey, Calum G. - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 155-165
The measure of long-term memory is important for the study of economic and financial time series. This paper estimates the Hurst exponent from a Scaled Variance Ratio model for 17 commodity price series under the efficient market null H0:H=0.5. The distribution about the estimates of H are...