Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-Term Dependent Series

Craig Ellis
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Craig Ellis: School of Economics and Finance, University of Western Sydney

No 79, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: Hurst exponent estimates for long-term dependent series are well known to be biased with respect to their true value. Consequently, results based on the estimation of the classical rescaled adjusted range are conditional upon the choice of an appropriate benchmark, or expected value. The objective of this paper is to propose a framework for the estimation of the expected rescaled adjusted range for a general class of long-term dependent time-series.

Pages: 16 pages
Date: 1998-04-01
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Citations: View citations in EconPapers (1)

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