The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries

We report an empirical analysis of long-range dependence in the returns of eight stock markets indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range...

Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long-range dependence in the log return series of the Mibtel (Italy) and the PX-Glob (Czech Republic). Long-range dependence implies that predictable patterns in the log...