Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...

In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...

We examine the interactions between stablecoins, Bitcoin, and a basket of altcoins to uncover whether stablecoins represent the investors' demand for trading and investing into cryptoassets or rather play a role as boosting mechanisms during cryptomarkets price rallies. Using a set of...

We replicate the study of Tabak & Cajueiro (2007): "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The results have been mostly confirmed. Specifically, we have...

We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices...