- Tytuł:
- Testing for Long-Range Dependence in Financial Time Series
- Autorzy:
-
Mangat, Manveer Kaur
Reschenhofer, Erhard - Powiązania:
- https://bibliotekanauki.pl/articles/2076133.pdf
- Data publikacji:
- 2019
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
long-range dependence
fractionally integrated process
frequencydomain test
Kolmogorov-Smirnov goodness-of-fit-test - Opis:
- Various trading strategies have been proposed that use estimates of the Hurst coefficient, which is an indicator of long-range dependence, for the calculation of buy and sell signals. This paper introduces frequency-domain tests for longrange dependence which do, in contrast to conventional procedures, not assume that the number of used periodogram ordinates grow with the length of the time series. These tests are applied to series of gold price returns and stock index returns in a rolling analysis. The results suggest that there is no long-range dependence, indicating that trading strategies based on fractal dynamics have no sound statistical basis.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2019, 2; 93-106
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł