R/S analysis and DFA: finite sample properties and confidence intervals
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More about this item
Keywords
rescaled range analysis; detrended fluctuation analysis; Hurst exponent; long-range dependence; confidence intervals;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-08-02 (Econometrics)
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