Search Results - subject:"Rescaled range"

Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...

Persistent link: https://www.econbiz.de/10014279894

Do consumption-based asset pricing models explain own-history predictability in stock market returns?

Ashby, Michael F.; Linton, Oliver - 2022

Persistent link: https://www.econbiz.de/10013486082

Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů

Srbek, Pavel - In: Politická ekonomie : teorie, modelování, aplikace 66 (2018) 4, pp. 508-524

Persistent link: https://www.econbiz.de/10011933858

Long-range dependence in returns and volatility of Central European Stock Indices

Kristoufek, Ladislav - Institut ekonomických studií, Univerzita Karlova v Praze - 2010

years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and post …

Persistent link: https://www.econbiz.de/10008522367

Long-range dependence in returns and volatility of Central European Stock indices

Krištoufek, Ladislav - 2010

years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and …

Persistent link: https://www.econbiz.de/10010322268

Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range

Kristoufek, Ladislav - Volkswirtschaftliche Fakultät, … - 2009

-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled … range. We show that the difference in expected values and confidence intervals enables us to use both methods together to …

Persistent link: https://www.econbiz.de/10005014958

Classical and modified rescaled range analysis: Sampling properties under heavy tails

Kristoufek, Ladislav - Institut ekonomických studií, Univerzita Karlova v Praze - 2009

Persistent link: https://www.econbiz.de/10008472124

Classical and modified rescaled range analysis: Sampling properties under heavy tails

Krištoufek, Ladislav - 2009

Persistent link: https://www.econbiz.de/10010322233

On long memory behaviour and predictability of financial markets

Vo, Long H.; Roberts, Leigh - School of Economics and Finance, Victoria Business School - 2014

horizon. By examining local long-range dependence (measured by the rolling Rescaled Range estimates of the Hurst index) of an …

Persistent link: https://www.econbiz.de/10010860335

The mis-specification of the expected rescaled adjusted range

Ellis, Craig - University of Western Sydney; College of Business; … - 2006

Rescaled range analysis has regained popularity in the recent econophysics literature as a means of identifying long …

Persistent link: https://www.econbiz.de/10009482120