Search Results - subject:"Long-range persistence"

Abnormal statistical properties of stock indexes during a financial crash

Li, Wei-Shen; Liaw, Sy-Sang - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 73-88

We investigate minute indexes of stock markets in 10 countries during financial crashes by dividing them into several stages according to their stock price tendencies: plunging stage (stage 1), fluctuating or rebounding stage (stage 2), and soaring stage (stage 3). The tail distributions of the...

Persistent link: https://www.econbiz.de/10011194001

A maximum likelihood estimator for long-range persistence

Guerrero, Alexandra; Smith, Leonard A. - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 2, pp. 619-632

A wide variety of processes are thought to show “long-range persistence”, specifically an autocorrelation function with …, among others, have been claimed to show long-range persistence. In this paper we present a new approach, defining and … degree of long-range persistence are used to test the accuracy of the new estimator in terms of spread and bias. The …

Persistent link: https://www.econbiz.de/10011064395