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Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique
Ellis, Craig - In: International review of financial analysis 8 (1999) 1, pp. 53-65
Persistent link: https://www.econbiz.de/10001446438
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Modelling the expected value of the classical rescaled adjusted range for long-term dependent series
Ellis, Craig - 1998
Persistent link: https://www.econbiz.de/10000983589
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Scaling relationships of Gaussian processes
Batten, Jonathan A.; Ellis, Craig - In: Economics letters 72 (2001) 3, pp. 291-296
Persistent link: https://www.econbiz.de/10001602342