On Hurst exponent estimation under heavy-tailed distributions

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 18, 2010, Pages 3844-3855

  Barunik, Jozef ^a,b   Kristoufek, Ladislav ^a,b  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

^b CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Heavy tails; High frequency data analysis; Hurst exponent

Indexed keywords

COMMERCE; FRACTALS; NORMAL DISTRIBUTION;

DETRENDING MOVING AVERAGES; GAUSSIAN NORMAL DISTRIBUTION; GENERALIZED HURST EXPONENT; HEAVY-TAILED DISTRIBUTION; HEAVY-TAILS; HIGH FREQUENCY DATA; HURST EXPONENTS; MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS;

MONTE CARLO METHODS;

EID: 77955303263     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.05.025     Document Type: Article

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