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0343525 - ÚTIA 2011 RIV NL eng J - Journal Article
Baruník, Jozef - Krištoufek, Ladislav
On Hurst exponent estimation under heavy-tailed distributions.
Physica. A : Statistical Mechanics and its Applications. Roč. 389, č. 18 (2010), s. 3844-3855. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310; GA UK(CZ) 46108
Institutional research plan: CEZ:AV0Z10750506
Keywords : high frequency data analysis * heavy tails * Hurst exponent
Subject RIV: AH - Economics
Impact factor: 1.521, year: 2010
http://library.utia.cas.cz/separaty/2010/E/barunik-0343525.pdf
Permanent Link: http://hdl.handle.net/11104/0185985