Publication detail

Kristoufek, L.: Classical and modified rescaled range analysis: Sampling properties under heavy tails

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: IES Working Papers
Year: 2009
Number: 26
ISSN / ISBN:
Published in: IES Working Papers 26/2009 PDF
Publishing place: Prague
Keywords: rescaled range, modified rescaled range, Hurst exponent, long-range dependence, confidence intervals
JEL codes: G1, G10, G14, G15
Suggested Citation: Kristoufek, L. (2009). “ Classical and modified rescaled range analysis: Sampling properties under heavy tails ” IES Working Paper 26/2009. IES FSV. Charles University.
Grants: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-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 clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.
Downloadable: WP 2009_26_Kristoufek

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