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Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999
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...
Persistent link: https://www.econbiz.de/10010310063
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Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10005184571
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Semi-parametric Estimation of the Hölder Exponent of a Stationary Gaussian Process with Minimax Rates
Lang, Gabriel; Roueff, François - In: Statistical Inference for Stochastic Processes 4 (2001) 3, pp. 283-306
Persistent link: https://www.econbiz.de/10005184576
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Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - Sonderforschungsbereich 373, Quantifikation und … - 1999
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...
Persistent link: https://www.econbiz.de/10010983426