Estimating the self-similar exponent of broad-sense self-similar processes

Jing Zheng, Guijun Zhang and Changqing Tong

Physica A: Statistical Mechanics and its Applications, 2016, vol. 444, issue C, 654-659

Abstract: In this paper, a new algorithm about the self-similar exponent of self-similar processes is introduced which is used to explore long memory in financial time series. This method can work for more general broad-sense self-similar processes. We prove that this algorithm performs much better than the classical methods.

Keywords: Self-similar exponent; Broad-sense self-similar process; Lévy stable process (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:444:y:2016:i:c:p:654-659

DOI: 10.1016/j.physa.2015.10.074

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