Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F10%3A00349301" target="_blank" >RIV/67985556:_____/10:00349301 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Popis výsledku v původním jazyce
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 applied on different types of financial assets, only seve- ral papers have dealt with the finite sample properties which are crucial as the properties differ significantly from the asymptotic ones. Recently, R/S analysis has been shown to overestimate H when compared to DFA. However, we show that even though the estimates of R/S are truly significantly higher than an asymptotic limit of 0.5, for random time series with lengths from 29 to 217, they remain very close to the estimates proposed by Anis & Lloyd and the estimated standard deviations arelower than the ones of DFA. On the other hand, DFA estimates are very close to 0.5. The results propose that R/S still remains useful and robust method even when compared to newer method of DFA which is usually preferred in recent litera
Název v anglickém jazyce
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Popis výsledku anglicky
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 applied on different types of financial assets, only seve- ral papers have dealt with the finite sample properties which are crucial as the properties differ significantly from the asymptotic ones. Recently, R/S analysis has been shown to overestimate H when compared to DFA. However, we show that even though the estimates of R/S are truly significantly higher than an asymptotic limit of 0.5, for random time series with lengths from 29 to 217, they remain very close to the estimates proposed by Anis & Lloyd and the estimated standard deviations arelower than the ones of DFA. On the other hand, DFA estimates are very close to 0.5. The results propose that R/S still remains useful and robust method even when compared to newer method of DFA which is usually preferred in recent litera
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.
Návaznosti
Z - Vyzkumny zamer (s odkazem do CEZ)
Ostatní
Rok uplatnění
2010
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Czech Economic Review
ISSN
1802-4696
e-ISSN
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Svazek periodika
4/2010
Číslo periodika v rámci svazku
3
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
15
Strana od-do
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Kód UT WoS článku
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EID výsledku v databázi Scopus
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