Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
Year of publication: |
1999
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Authors: | Hall, Peter ; Härdle, Wolfgang ; Kleinow, Torsten ; Schmidt, Peter |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | Monte Carlo | box-counting method | commodity price | financial market | fractal dimension | fractional Brownian motion | Gaussian process | longrange dependence | R-S analysis | self affineness | self similarity |
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