Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient

Peter Hall, Wolfgang Härdle, Torsten Kleinow and Peter Schmidt

Statistical Inference for Stochastic Processes, 2000, vol. 3, issue 3, 263-276

Keywords: Box-counting method; commodity price; financial market; fractal dimension; fractional Brownian motion; Gaussian process; long-range dependence; Monte Carlo; R–S analysis; self affineness; self similarity (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (8)

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DOI: 10.1023/A:1009921413616

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