Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
| Year of publication: |
2000
|
|---|---|
| Authors: | Hall, Peter ; Härdle, Wolfgang ; Kleinow, Torsten ; Schmidt, Peter |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 3.2000, 3, p. 263-276
|
| Publisher: |
Springer |
| Subject: | Box-counting method | commodity price | financial market | fractal dimension | fractional Brownian motion | Gaussian process | long-range dependence | Monte Carlo | R–S analysis | self affineness | self similarity |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184571