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Cheong, 2010 - Google Patents

Estimating the hurst parameter in financial time series via heuristic approaches

Cheong, 2010

Document ID
11617034771435579504
Author
Cheong C
Publication year
Publication venue
Journal of Applied Statistics

External Links

Snippet

This research investigates long memory financial equity markets using three heuristic methodologies namely a proposed modified variance time-aggregated plot, modified rescaled-range plot and periodogram approaches. The intensity of the long memory process …
Continue reading at www.tandfonline.com (other versions)

Classifications

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    • G06Q10/00—Administration; Management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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