Search Results - subject:"Rescaled range analysis"

How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

Kristoufek, Ladislav - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 17, pp. 4252-4260

In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-range correlation detection — classical and modified rescaled range analyses. A focus is put on an effect of different distributional properties on an ability of the methods to efficiently...

Persistent link: https://www.econbiz.de/10011057723

A raging bull or a long-term speculative bubble? : the puzzling case of the Karachi stock exchange

Ahmed, Ehsan; Rosser, John Barkley; Uppal, Jamshed Y. - In: The Pakistan development review : PDR 55 (2016) 2, pp. 79-93

Persistent link: https://www.econbiz.de/10011561580

Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals

Krištoufek, Ladislav - In: Czech Economic Review 4 (2010) 3, pp. 315-329

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis …

Persistent link: https://www.econbiz.de/10008727382

R/S analysis and DFA: finite sample properties and confidence intervals

Kristoufek, Ladislav - Volkswirtschaftliche Fakultät, … - 2009

We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation – R/S analysis and DFA. Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with finite sample properties which are crucial as the...

Persistent link: https://www.econbiz.de/10005014955

Statistical persistence of air pollutants (O3,SO2,NO2 and PM10) in Mexico City

Meraz, M.; Rodriguez, E.; Femat, R.; Echeverria, J.C.; … - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 202-217

The rescaled range (R/S) analysis was used for analyzing the statistical persistence of air pollutants in Mexico City. The air-pollution time series consisted of hourly observations of ozone, nitrogen dioxide, sulfur dioxide and particulate matter obtained at the Mexico City downtown monitoring...

Persistent link: https://www.econbiz.de/10011209662

Multiscaling and Stock Market Efficiency in China

Thiele, Thomas A. - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 04, pp. 1450023-1

China has taken important steps to reform its economy and capital markets in the past 20 years. Despite these efforts there is a lack of quantitative evidence on how these measures have impacted price returns in the stock exchanges. The purpose of this research was to determine the randomness of...

Persistent link: https://www.econbiz.de/10011084770

Multiscaling and stock market efficiency in China

Thiele, Thomas A. - In: Review of Pacific Basin financial markets and policies 17 (2014) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10010474386

Long Memory in the Australian Stock Market

Kang, Sang-Hoon; Nguyen, Hoa - Deakin University, Faculty of Business and Law, School … - 2007

In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range … analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long … memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non …

Persistent link: https://www.econbiz.de/10005187586

Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?

Ahmed, Ehsan; J. Barkley Rosser Jr.; Uppal, Jamshed Y. - In: Emerging Markets Finance and Trade 46 (2010) 4, pp. 23-40

rescaled range analysis of Hurst. For the first test, absence of bubbles is rejected for twenty-four countries (except Mexico …

Persistent link: https://www.econbiz.de/10008742572

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

Kristoufek, Ladislav - In: Bulletin of the Czech Econometric Society 17 (2010)

In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with...

Persistent link: https://www.econbiz.de/10008635630