The rescaled range (R/S) analysis was used for analyzing the statistical persistence of air pollutants in Mexico City …-range persistence is not a uniform property over a wide range of time scales, from days to months. In fact, although the air pollutant … weekly) cycles are reflected in the dependence of the persistence strength as quantified in terms of the Hurst exponent. It …

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R …/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the … future values), whilst during crisis period the level of persistence is increasing. These results can be informative about …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …