کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979629 | 933376 | 2007 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The measure of long-term memory is important for the study of economic and financial time series. This paper estimates the Hurst exponent from a Scaled Variance Ratio model for 17 commodity price series under the efficient market null H0:H=0.5. The distribution about the estimates of H are obtained from 90%, 95% and 99% confidence intervals generated from 20,000 Monte Carlo replications of a geometric Brownian motion. The results show that the scaled variance ratio provides a very good and stable estimate of the Hurst exponent, but the estimates can be quite different from the measure obtained from rescaled range or R-S analysis. In general commodity prices are consistent with the underlying assumption of a geometric Brownian motion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 377, Issue 1, 1 April 2007, Pages 155-165
Journal: Physica A: Statistical Mechanics and its Applications - Volume 377, Issue 1, 1 April 2007, Pages 155-165
نویسندگان
Calum G. Turvey,