Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data

Nikolas Gerlich and Stefan Rostek

Physica A: Statistical Mechanics and its Applications, 2015, vol. 434, issue C, 84-98

Abstract: We derive a heuristic method to estimate the degree of self-similarity and serial correlation in financial time series. Especially, we propagate the use of a tailor-made selection of different estimation techniques that are used in various fields of time series analysis but until now have not consequently found their way into the finance literature. Following the idea of portfolio diversification, we show that considerable improvements with respect to robustness and unbiasedness can be achieved by using a basket of estimation methods.

Keywords: Serial correlation; Self-similarity; Portfolio diversification; Multifractionality; Volatility clustering (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:434:y:2015:i:c:p:84-98

DOI: 10.1016/j.physa.2015.03.085

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