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- 1.0381822 - ÚTIA 2013 RIV NL eng J - Journal Article
Krištoufek, Ladislav
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study.
Physica. A : Statistical Mechanics and its Applications. Roč. 391, č. 17 (2012), s. 4252-4260. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310; SVV(CZ) 261 501
Institutional support: RVO:67985556
Keywords : Rescaled range analysis * Modified rescaled range analysis * Hurst exponent * Long-term memory * Short-term memory
Subject RIV: AH - Economics
Impact factor: 1.676, year: 2012
http://library.utia.cas.cz/separaty/2012/E/kristoufek-how are rescaled range analyses affected by different memory and distributional properties.pdf
Permanent Link: http://hdl.handle.net/11104/0212203 - 2.0349301 - ÚTIA 2011 RIV CZ eng J - Journal Article
Krištoufek, Ladislav
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals.
AUCO Czech Economic Review. 4/2010, č. 3 (2010), s. 236-250. ISSN 1802-4696
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : rescaled range analysis * detrended fluctuation analysis * Hurst exponent * long-range dependence
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-rescaled range analysis and detrended fluctuation analysis finite sample properties and confidence intervals.pdf
Permanent Link: http://hdl.handle.net/11104/0189575 - 3.0343070 - ÚTIA 2011 RIV CZ eng J - Journal Article
Krištoufek, Ladislav
Long-range dependence in returns and volatility of Central European Stock Indices.
Bulletin of the Czech Econometric Society. Roč. 17, č. 27 (2010), s. 50-67. ISSN 1212-074X
R&D Projects: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant - others:GA UK(CZ) 5183/2010
Institutional research plan: CEZ:AV0Z10750506
Keywords : long-range dependence * bootstrapping * rescaled range analysis * rescaled variance analysis
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2010/E/kristoufek-long-range dependence in returns and volatility of central european stock indices bces.pdf
Permanent Link: http://hdl.handle.net/11104/0185633