On Hurst exponent estimation under heavy-tailed distributions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10002276" target="_blank" >RIV/00216208:11230/10:10002276 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/10:00343525
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On Hurst exponent estimation under heavy-tailed distributions
Original language description
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We propose a nove approach of intraday time-dependent Hurst exponent and apply it to high-frequency financial market data.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica A: Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
389
Issue of the periodical within the volume
18
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
12
Pages from-to
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UT code for WoS article
000280385600015
EID of the result in the Scopus database
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