Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 14, 2010, Pages 2770-2781

  Serinaldi, Francesco ^a  

^a UNIVERSITY OF TUSCIA   (Italy)

Author keywords

Anti persistence; Energy market prices; Fractional Brownian motion; Fractional Gaussian noise; Hurst parameter; Long range dependence; Stock market prices

Indexed keywords

BROWNIAN MOVEMENT; COMMERCE; COST ESTIMATING; FINANCIAL DATA PROCESSING; GAUSSIAN NOISE (ELECTRONIC); PARAMETER ESTIMATION; STOCHASTIC SYSTEMS;

ANTI PERSISTENCES; ENERGY MARKETS; FRACTIONAL BROWNIAN MOTION; FRACTIONAL GAUSSIAN NOISE; HURST PARAMETER; LONG RANGE DEPENDENCE; STOCK MARKET PRICES;

TIME SERIES ANALYSIS;

EID: 77951206886     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.02.044     Document Type: Article

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