RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Willinger, Taqqu and Teverovsky(1999), "Stock Market Prices and Long-Range Dependence", Finance and Stochastics, vol 3 pp 1-13. Uses the RATS procedures hurst.src and rsstatistic.src

Language: RATS
Requires: RATS 8.00
Keywords: Long memory; Hurst exponent (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/willingertaqteverfs1999.zip (application/zip)

Related works:
Journal Article: Stock market prices and long-range dependence (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00167

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