In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended fluctuation analysis (MF-DFA), detrending moving...

We analyze the long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. Various statistical properties of these prices are studied, and as the dynamics of electricity prices is dominated by cycles—in particular intraday and daily—we opt for...

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of...

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of...

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming...

In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with...

Agent-based models are usually claimed to generate complex dynamics; however, the link to such complexity has not been subject to rigorous examination. This paper studies this link between the complexity of financial time series---measured by their multifractal properties---and the design of...

The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes. The fundamental components are believed to have a weak, if any, role in price formation and emergent dynamics. This research studies five...