Classical and modified rescaled range analysis: Sampling properties under heavy tails

Ladislav Krištoufek ()

No 2009/26, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.

Keywords: rescaled range; modified rescaled range; Hurst exponent; long-range dependence; confidence intervals (search for similar items in EconPapers)
JEL-codes: G1 G10 G14 G15 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2009-11, Revised 2009-11
New Economics Papers: this item is included in nep-ecm
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