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On Hurst exponent estimation under heavy-tailed distributions

SYSNO	0343525
Title	On Hurst exponent estimation under heavy-tailed distributions
Author(s)	Baruník, Jozef (UTIA-B) [E]_{RID, ORCID} Krištoufek, Ladislav (UTIA-B) [E]_{RID, ORCID}
Source Title	Physica. A : Statistical Mechanics and its Applications. Roč. 389, č. 18 (2010), s. 3844-3855. - : Elsevier
Document Type	Článek v odborném periodiku
Grant	118310, CZ - Czech Republic
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	46108, CZ - Czech Republic
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Language	eng
Country	NL
Keywords	high frequency data analysis * heavy tails * Hurst exponent
URL	http://library.utia.cas.cz/separaty/2010/E/barunik-0343525.pdf
Permanent Link	http://hdl.handle.net/11104/0185985

Number of the records: 1