International audienceIn this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties
In this work we investigate an alternative bootstrap approach based on a result of Ramsey (1974) and...
The goal of this paper is to provide benchmarks to the practitioner for measuring the intensity of l...
Title: Long range dependence in time series Author: Alexander Till Department: Department of Probabi...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time se...
We present the results of a simulation study into the properties of 11 dierent estimators of the Hur...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
This article revises semiparametric methods of inference on different aspects of long mem-ory time s...
In this work, we investigate an alternative bootstrap approach based on a result of Ramsey [F.L. Ram...
This paper proposes an M-estimator for the fractional parameter of stationary long-range dependent p...
We study the problem of constructing confidence intervals for the long-memory parameter of stationar...
The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integra...
In this work we investigate an alternative bootstrap approach based on a result of Ramsey (1974) and...
The goal of this paper is to provide benchmarks to the practitioner for measuring the intensity of l...
Title: Long range dependence in time series Author: Alexander Till Department: Department of Probabi...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time se...
We present the results of a simulation study into the properties of 11 dierent estimators of the Hur...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
This article revises semiparametric methods of inference on different aspects of long mem-ory time s...
In this work, we investigate an alternative bootstrap approach based on a result of Ramsey [F.L. Ram...
This paper proposes an M-estimator for the fractional parameter of stationary long-range dependent p...
We study the problem of constructing confidence intervals for the long-memory parameter of stationar...
The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integra...
In this work we investigate an alternative bootstrap approach based on a result of Ramsey (1974) and...
The goal of this paper is to provide benchmarks to the practitioner for measuring the intensity of l...
Title: Long range dependence in time series Author: Alexander Till Department: Department of Probabi...