Estimating long range dependence: finite sample properties and confidence intervals

@article{Weron2001EstimatingLR,
  title={Estimating long range dependence: finite sample properties and confidence intervals},
  author={Rafał Weron},
  journal={HSC Research Reports},
  year={2001}
}
  • R. Weron
  • Published 24 March 2001
  • Mathematics
  • HSC Research Reports
View PDF on arXiv
336 Citations
Highly Influential Citations
27
Background Citations
72
Methods Citations
90
Results Citations
7

336 Citations

Citation Type

Citation Type

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A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant…
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A number of authors have argued that financial prices may exhibit hidden long-term dependence. We consider this claim analysing German stock market data. Applying three different concepts for the…
Stock market prices and long-range dependence
TLDR
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Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence
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Real and Spurious Long-Memory Properties of Stock-Market Data
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What color are commodity prices? A fractal analysis
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