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Long-range dependence in returns and volatility of Central European Stock Indices
1997 and 2009 with a use of classical and modified rescaled range and rescaledIn the paper, we research on the presence of long-range dependence in returns that there is no significant long-range dependen...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
popular techniques of long-range correlation detection - classical and modified rescaled range analyses. A focus is put on an effect of different distributional for independent, short-range dependent, and long-
AH - Ekonomie
- 2012 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Applications of Rescaled Range Analysis at Financial Markets.
Basic themes in document: financial markets; R/S analysis. ? ˇ ? Ę Î Đ ç đ ?...
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation?rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely appli...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Long-term memory and its evolution in returns of stock index PX between 1997 and 2009
for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The estimate of Hurst exponent in daily return series of stock indices
exponent and was estimated using rescaled range analysis. The results are in line. This paper applies a measure of long-range dependence rediscovered and promoted......
Finance
- 2018 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Testing power-law cross-correlations: rescaled covariance test
properties which is well able to distinguish between short-and long-range cross-correlations. Such test should be used as a starting point in the analysis of long-range a pair of time series - the rescaled covaria...
AH - Ekonomie
- 2013 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Long memory analysis of agricultural commodities: Application of Hurst Exponent using Lévy Process
deals with persistency of time series over 2011 2015 period. For analysis of commodities the rescaled range method is used. Results show that there is an existence......
Applied Economics, Econometrics
- 2017 •
- D
Rok uplatnění
D - Stať ve sborníku
Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?
was estimated using rescaled range analysis. The estimates are based on an unusually large research. A measure of long-range dependence (Hurst exponent) was applied to daily......
Finance
- 2020 •
- JSC •
- Link
Rok uplatnění
JSC - Článek v periodiku v databázi SCOPUS
Výsledek na webu
Globalization
Discussion of approaches to globalization, its causes, consequences of rescaling of human activities and formation of the spaces of flows...
AO - Sociologie, demografie
- 2012 •
- C
Rok uplatnění
C - Kapitola v odborné knize
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